Not sure there are any talking horses that I remember, unless you count Loki.
I'm not that well-read on English retellings of Norse mythology (I usually read them in Swedish, or try to muddle through the original poems until I give up). Stephen Grundy did a really good and historically based version of the Volsunga saga with Rhinegold, but it was a long time since I read that, and it is rather dense.
Sadly, Peter Madsen's Valhalla (wikipedia) isn't available in English translation. It's a really fun and irreverant take on the Norse myths in comics format. You can find various samples at the link.