The best way to get a horse that you never lose is to always, always do the Dark Brotherhood quests and get Shadowmare. She is the fastest horse in the game, and she won't die, she'll just pass out. And if you forget where you leave her, just warp to a city and she'll be waiting outside the gate.

I would always do in this order: The Dark Brotherhood, The Shivering Isles (because after all that goes down in the Dark Brotherhood, I figure you go insane,) and being there heals you. The Thieves Guild, then Mages Guild, then Fighter's Guild / Random side quests, the Orc Knight random quest (can't remember the name of it, but you and a orc girl become knights,) then I would go on the pilgrimage for the Knights of the Nine to heal up my soul, and then the main quest, because see you climb from evil to purity and are then able mentally, physically, and spiritually against Mehrunes Dega and his minions.