The Household Cavalry Museum. http://www.householdcavalrymuseum.co.uk/
This is No3 on my list of museums I've never visited before. It was free to get in with my Xmas present of an Art Fund card so thank-you Rob and Laura. There are lots of interactive displays on all aspects of Cavalry life - from the ceremonial to their active service. But its greatest asset is the glass wall between the museum and the stables where you can watch not only the horses but also the guards taking off or putting on their ceremonial uniforms ready for duty. It's possible to go onto the parade ground to watch the changing of the guards ceremony and then go back into the museum to watch what happens next to the horses as they are led into the stables.