Getting a horse or dragon as a pet, are not any different as long as they are both unmounted.

Unmounted Pets

As long as the horse/dragon pets are unmounted there is not any difference except what you like as a pet. Myself, I prefer the dragon as a pet.

For each level, that this unmounted pet levels, you get 1 technical point, from which you can go to the Animal Trainer and apply it to a pet skill.

Now there are different skills and you have to decide which ones you want. So click your stat window then get a animal skill say Defense and see what it does for you. Normally, I would get armor defense since good weapons are easy to find.
Then once you max the armor defense, you can go to offense buffs. The max Level is now L165, but only 3 buffs are available for anyone. If you are a knight, you could get the Magical Power, but since you utilize a weapon, it would do you not good. So if someone is selling a level 100 pet and someone else is selling a L120 pet, then getting the level 100 would be the better buy now. Why pay for something that you will never use.

Physical Attacker	Magical Attacker
Increased Power Increased Armor Magical Defense	Magical Power Increases Armor Magical Defense

Mounted Pets

There is a difference between the mounted Horse and the mounted Dragon skills and buffs.
There are 3 common buffs, HP up, MP up, and Life Regen that are common to both. Basically with the HP and MP skills, you get more with each level. Then the Life Regen skill with each level you are able to regen at a faster rate.


Horse Mounted

You need only have a mounted Horse to be a max level of Level 37. This way you can max the offense and defense buffs. You could go to L38, and get the horse crying skill but this skill is obsolete. Basically, you could use it to aggro a mob. But if you are leveling a horse, then you have a long wait for the pet to reach L38.

Remember, once a pet is mounted, it will not level anymore.

Dragon Mounted

When the game first stated the mounted dragon was useful. The max level was L33, in which you would aggro the butcher mobs and use the dragon's fire to kill the mob. Now again, this is obsolete. The only reason to have a mounted Dragon now, is to have it for the heck of it. If you notice, no one uses a mounted dragon for attack.

Dragon Roar	Description
Level 1	Decreases the enemy's move and attack speed for a time around 10 minutes
Dragon Breath
Level 1	Attack enemies with a wide range flame blast around pointed enemy

So, horse or drake as a pet are both the same skills. A level 37 Mounted horse - Knightmare, at L37 gives you the Maximum skill buff for offense and defense.
Then the Dragon mounted is obsolete. People have them as they look cool and that is about it.