Riding your horse in a parade can be a fantastic and very memorable experience, but it takes the right kind of horse and the right kind of training to create a parade horse that can handle the high intensity parade atmosphere while keeping himself, his rider, and spectators safe.
The best parade horses are naturally showy but also very difficult to spook. Before entering your horse in their first parade you should make a list of all the new things the horse might encounter at a parade, and make it a point to expose and over-expose the horse to those things in the weeks and months leading up to the parade. Such a list might include:
flags, balloons, manhole covers, brick streets, bridges, small children, wheelchairs, strollers, miniature horses, draft horses, horses pulling carts, women in pouffy dresses, sirens, fire trucks, applause, announcers, shriner vehicles, floats, marching bands, candy being thrown, etc, etc, etc. You can get tape recordings of parade sounds somewhere online to use to desensitize your horse to sirens, marching bands, etc.
Training of a parade horse should be approached like any other discipline. You don't take a green horse to a four star three day event and you don't take a horse to the Macy's Thanksgiving Day Parade for their first parade experience! Many places across the country have "all horse parades" and these events are an excellent starting point for a new parade horse. Always plan to take a new parade horse into their first parade alongside an experienced parade horse or at least a horse that is exceptionally calm. Arrive early and ride through the staging area at length, allowing the horse to get used to the costumes and carts and sounds of a parade. Warm up as much as you need to till your horse is at ease in the parade staging area- it's far better to have a horse that looks a little tired when the parade starts than a horse that's keyed up and difficult to control. While a degree of "showiness" is acceptable for parade horses, a parade is NOT the place for any horse that lacks basic training.
Small town, preferably all-horse parades, are the best place for giving your horse a positive start to being a parade horse. For your first parade, you might want to consider having a person, dressed appropriately, walking along side "heading" your horse in case something happens. (this is VERY common with harness horses in parades, but is done with young ridden parade horses too).
Most of all, have fun! A parade is an excellent opportunity for the non-horse public to experience America's horses!