It's actually called Giant Dargon. It's a huge horse with 80 armour, 37 speed, a ton of HP... it's about 50% bigger than the average horse and has goat horns. It requires 6 riding and you have to do a little riding test that should take 4-5 attempts to complete, not very hard really
The other horse you unlock from the market is rainbow horse which has 40 armour and 60 speed. So its a matter of speed vs armour. The rainbow horse is a horse archery challenge that requires horse archery 6 to do but you can do it on a companion, I did it with rolf but Xerina is a good choice with her high archery skill, I tend to shape her into an archer and get the 6 horse archery skill on her. It's a bit harder imo than the melee riding challenge I think but neither are all that hard, and you get a clue scroll from this one as well