Sleipier is the eight-legged horse of Odin. So, make him a mob, why not?
When you spawn in the world, one Sleinir is spawned also, in a level 150+ area. When you find Sleipnir, you can tame him, by feeding him Golden carrots (15-20 carrots needed) when tamed, you can place a saddle upon the mighty steed. He is controlled by the player, and goes at 15 block per seconds, on land.
It can travel through a nether portal, and All mobs in the nether are non-hostile if on Sleipnir.
However, Taming Sleipnir will incure the warth of it's true owner.