All that most horses need for a balanced diet is grass or hay, water, and salt. Technically, grain is a supplement, but most people use the term to refer to vitamins and minerals that are added to the grain. Be very careful when adding things to your horse's diet.
Supplements are generally not necessary unless the horse is working extremely hard (like a race or show horse), has a health problem, is pregnant, or is not receiving sufficient nutrients from its basic diet of hay and/or grain.
Some supplements are toxic in large quantities, so read dosages carefully. Others are fattening, and fat horses are prone to performance and soundness problems. Overfeeding supplements to foals can create permanent skeletal malformation. Always determine the need for supplements on an individual basis. Ask your veterinarian for advice if you're unsure.
See also Feeding and Nutrition