Incitatus
Ancient historians do say Caligula gave his horse many gifts.  In 121 c.e., in his book The Twelve Caesars, the historian Suetonius says of Incitatus: "Besides a stall of marble, a manger of ivory, purple blankets and a collar of precious stones, he even gave this horse a house, a troop of slaves and furniture, for the more elegant entertainment of the guests invited in his name; and it is also said that he planned to make him consul."