Are there any horses that can carry items?

Horses in Skyrim, like in Oblivion, have no means to carry items in the base, unmodified game.

(I'm not sure why you think your horse could carry items in Oblivion, unless you are referring to the bug wherein you beat Shadowmere unconcious and store items in her body)

Dead Thralls make decent luggage: you can have two, you can change bags when you like, and you can store them in a basement when not in use.

I like the luxury chashmere lined Gucci range of dead thrall, available covered in brown (leather), black (ebony), green (orcish), classic business (iron) and ivory (dragonbone - now Illegal).

There is one better horse which you get during the Dark Brotherhood quest line, but no he doesn't carry stuff for you.

If you want someone to carry stuff for you, I'd suggest getting a Companion/Follower and giving them your items. I wouldn't give him/her anything extremely valuable though, because I have had my companion lose items before. Also, companions do have a weight limit, although I'm not sure what it is.

If playing on the PC, installing the Horse Inventory mod will allow your horse to carry items.

No more Lydia have to carry your burdens, horse will do! This mod allows you to use inventory of your steed. All you need is to sneak and then activate the horse. So get all your loot and pack it on animal - "skyrim horses are not fast but sturdy". Make the hell out of their sturdyness!