I mostly run solo, but at least Lydia can carry a fair amount of lewt for you if you do bring her.
Wich makes me think of this:
Gave up on having a horse after loosing the second one to godknowswhat. Stupid thing will run away and hide(or ending up aggroing something nasty elsewhere) for butterflies and kittens, but if something thats actually DEADLY shows up it just got to stay and fight.