The White Horse appears twice in Twin Peaks, and is only seen by Sarah Palmer. It always appears right before she loses consciousness, due to being drugged by Leland or someone is going to be killed by BOB. It is usually accompanied by a bright flashing light.
It has been theorized that the horse is connected in some way to the White Lodge. It is possible that the horse is an embodiment of intoxication, the elephant in the room, or perhaps a spirit protector.
The Pale HorseEdit
Perhaps the most straightforward theory regarding the The White Horse is that it is a character foreshadowing death or impending danger. This equates the White Horse with the "pale horse of Death", one of the Four Horsemen of the Apocalypse from the Bible. The Log Lady's intro to episode 2.06 features a poem along these lines:
"A poem as lovely as a tree: