- The Norse Deities depicted in Thor are relatively immortal, so speed may not be an issue when they are trying to get anywhere.
- When you will live forever (unless killed in battle) you don't need to rush. They may prefer horses (living things) to mechanical tools in order to maintain a connection to Life itself.
- For the record, Sleipnir was no ordinary horse. Sleipnir is a massive and powerful horse, gifted with eight legs, and famous for the battles he has fought with King Odin Borson on his back.
- If we were to consider that this realm is using technology more advanced than ours, whose is to say these things that look like horses ARE actually horses.
Looking back into Myth:
Odin rode an archetype of horses called Sleipnir.
In Norse mythology, Sleipnir (Old Norse "slippy" or "the
slipper") is an eight-legged horse. Sleipnir is Odin's steed, is
the child of Loki and Svaðilfari, is described as the best of all
horses, and is sometimes ridden to the location of Hel. The Prose Edda
contains extended information regarding the circumstances of
Sleipnir's birth, and details that he is grey in color.
On Marvel Earth #616 - Sleipnir is Odin's magical eight-legged steed, and the is supposed to be the greatest of all horses. As part of a magical bargain, A frost giant was building a wall for Asgard in exchange for the Moon, Sun and the goddess Freya. He had to build the wall in six months using only his grey stallion, Svaldfari. As the giant was nearing his task, the trickster Loki lured the mare off for a sexual liason (thus getting the wall work for free, keeping the Sun and the Moon and Freya from the giant) and getting an eight-legged superhorse in the bargain.
According to the Prose Edda, Loki returned to Asgard and gave the eight-legged gray colt to Odin, telling him that the horse was the swiftest on earth, and could bear Odin over sea, through the air, and to and from the land of the dead. According to Sigrdrífumál in the Poetic Edda, Sleipnir (Earth-616) had runes carved on his teeth.
In terms of the production of the movie:
- Horses are production-wise, the cheapest and most easily understood trope for moving the characters from Asgard to Jotenheim once they've used the Bifrost to connect the realms
- Horses allow a brief period of dialog to move story along
- no special effects need be created and no explanation for how horses work in Asgard
- Horses played strongly in Norse mythology...