Do horses need to be covered with blankets during winter months?

I am not a blanket person, but I know once you start to use them, you had better keep using them or the chances of your horse getting sick is greatly increased. I understand certain diciplines want their coat to look good all year. I also know that racing people blanket or clip because they want the horses to cool out quickly after competition. All of these horses are usually well cared for and often are not exposed to the elements as much as other horses. Obviously, wild horses were out all the time, and they were free to seek out natural shelter available to them.