I've answered this one before to kill the myth of the lead stallion, but it seems things are even more complicated than I thought. While researching, I came across a study that indicated that herds...
...actually have no one set "leader" at all. Different mares - and yes, the stallion (or even stallions, as some breeding herds have junior males) may lead movement at different times. Only stallions normally demonstrate herding behavior, and this appears to be more about protection than leadership.
Horse herds do have a hierarchy, but if somebody at the bottom knows this bit of the territory better - then it's her turn to lead.
Which means that the theory some people hold that you should always be dominant over your horse is not actually true - and the idea of a consensus partnership in which the human should always be ready to assert dominance, but should also be willing to let the horse lead is actually more natural to equines.