XBox 360/PS3/PC: Seahorse is located in the Thieves Forest. Seahorse is floating over the small stream after the defecating deer. Seahorse is easy to accquire; nothing is required to obtain him.
Seahorse allows you to move through water much faster than normal. This pet is really only useful in a few levels, as little areas have water.
It's very useful during the Rapids Ride and the Catfish levels when you are without any surface like a boat (gators, wooden trunks, wheels, sharks, thieves corpses and red fishes). It's also very useful during the Flooded Temple level, because you are always in the water.