Horses are all well and good, but in Skyrim they're hardly game-changing. Not only do they afford you only a modest increase in speed, but since you can't fight, gather ingredients, or do anything useful while mounted, you're forever climbing on and off them. But by riding a dragon, you could traverse the world with little regard for its terrain; you'd have a flamethrower between your legs for incinerating enemies; and resources that could be gathered for crafting would be beneath you in every sense.