I have two spoiled horses in their stalls out in the barn.. pooping their heads off for me to clean tomorrow I call them my "gym membership" because they give me enough of a daily workout that I would never need a gym, bowflex, etc. Most people I see leave theirs out all night well into winter, but we start bringing-in now and will bring them in msot lights of the year, except in summer. We don't have to, but it not only helps them keep weight on, but I think it gives them a mental break; outside, they can never fully relax like indoors. I think there can be too much of a good thing though; I hate when horses are fully stalled and never allowed to just be a horse.
They do have a roofed shelter out in the field.. darn little boogers never use it though.