Beet pulp, stabilized rice bran, canola oil, regular bran (and theres all kinds of supplements out there too)
Beet pulp is great. It's a cool feed so your horse won't get excitable like they would on other feeds. I've also had good luck feeding it with rice bran.
I've personally had very good experience with Amplify, but make sure you're getting down to the cause of the weight loss or failure to gain. It's easy to add in fat supplements and get the horse to gain weight, but in turn it's possible that you're just masking a problem. It's always great to talk to a nutritionist to make sure you're filling in all the gaps in his diet. Some horses are truly hard keepers, but in most situations with tons of good hay, the right grain, and possibly some supplemented vitamins and minerals, a horse won't need you to add fat.
We've used Beet Pulp and a 1/2 cup ish (glug) of Canola Oil. Others use Bran and Oil.
Seminole ultra bloom worked really well for my horse.
Coconut fat is basically lacking any side effects and will make him as round as an apple. :)