It's common wisdom that horses have thicker skin than we do - they're big animals, after all. (And this is sometimes used as an excuse to beat them).
Technically, this is true - a horse's skin is slightly thicker than hours. Recent research, though, indicates that they have a thinner epidermis. As horses communicate by touch, this probably compensates for the layer of fur.
My personal opinion is that their skin is effectively about the same as ours - I have certainly encountered horses that are ticklish. This is particularly common, for some reason, in Thoroughbreds. (It usually manifests as an objection to being groomed too lightly, especially on the belly).