Liu Bei 刘备
You could not possibly read Romance of Three Kingdoms and not come across this horse. That is because if not for Di Lu, Liu Bei would have died early on in the story.
Liu Bei first came across this horse whilst he was under the service of Liu Biao 刘表. The enemy, Zhang Wu 张武, was sitting atop this beautiful steed and both Liu Bei and Liu Biao admired it from opposite the front line. Zhao Yun 赵云 quickly understood Liu Bei's unspoken desire to have the horse and said to Liu Bei, "Give me three rounds".
Indeed within 3 rounds, Zhao Yun killed Zhang Wu and brought Di Lu over to Liu Bei. Liu Bei wanted to honor Liu Biao and presented Di Lu to him as a gift, however Liu Biao's advisor hastily discouraged accepting the gift. The advisor claims that the dark recesses under Di Lu's eyes and the spots on its face symbolized a cursed horse that would bring death to its rider. Liu Biao declined the horse and advised Liu Bei not to ride it too, but Liu Bei ignored the superstitions.
Later in the story, Cai Mao 蔡帽 usurped power after Liu Biao's death and planned to ambush Liu Bei. Liu Bei got wind of the plan and hastily escaped with Di Lu, but found no way across a creek several meters wide. He decided to take a gamble and hop over the creek on Di Lu, but Di Lu stumbled into the creek and got stuck in the mud.
Cai Mao was fast approaching and it seems all was lost. Liu Bei said to Di Lu, "Di Lu! Di Lu! Alas, you bring my death as was foretold!" Suddenly Di Lu gave one huge leap and jumped over 10 meters (exaggerated i'm sure) to bring Liu Bei to safety. From that day on, Liu Bei treated Di Lu with utmost care and love.
But the story does not end there. Years later, Liu Bei would lend Di Lu to Pang Tong 庞统 in their invasion of Luo Cheng 雒城. An enemy ambush mistook Pang Tong as Liu Bei since he was riding atop Di Lu and killed him at Luo Feng Po 落凤坡. Di Lu went missing and was never mentioned after that.