Intro: Ride in Minecraft
Riding a horse in Minecraft allows you to travel faster than you ever could on foot. All you need is a horse and a saddle. Horses will wander so you may wish to have a lead in your inventory so you can tie it, or you can build a small pen.
A few cautionary words: horses don't swim deeper than 2 blocks so don't go swimming with your horse. Also, horses can pass through 2 block high spaces but you are 3 blocks high. Be careful where you go so you don't experience suffocation damage!
If you need more information, consult the Minecraft wiki information page on horses