"Alastor, a black horse belonging to the Greek God Hades. He was one of the four horses drawing Hades's chariot when he rose from the Underworld to bring Persephone down with him. The other three were Orphnaeus, Aethon, and Nycteus."

So that's four named horses right there.

The chariot of Helios was pulled by horses, but I haven't been able to find their names.