One of the examples he mentioned of land archaeology, where they were actually able to determine cattle/horse colour, was from a Celtic salt mine where I'm assuming the salt preserved samples of fur (he didn't give us many details), in much faded form. From what he was implying though, so long as you have a sample of the fur, you can get an idea of colour by examining it in a lab. I would think frozen horses would also give you an idea of their colour.

I'm trying to recall any sites I've heard of with fur being preserved underwater, but the only thing I can recall is the hair on bog bodies. (A little voice is telling me that there was some fur lining on some of the clothes from the Mary Rose, but I suspect it's wrong.) I'd be interested if you do find a site.