The tradition of leading around the Mari Lwyd still goes on today in south Wales and also in some parts of west Wales. The example I know of is in the Gwaun Valley in north Pembrokeshire.Marie Trevalyan wrote about this winter tradition in her 1909 book on Welsh folklore and customs:
The Mari Llwyd, or "Holy Mary," was an exhibition made up of mummers dressed in all kinds of garments. The most prominent figure was a man covered with a white sheet. On his head and shoulders he bore a horse's head, fantastically adorned with coloured ribbons, papers, and brilliant streamers. Youths bearing burning brands, and small boys dressed up as bears, foxes, squirrels, and rabbits, helped to swell the throng. In some parts of Wales, in the far past, it was customary for a woman to impersonate the Virgin, while Joseph and the infant Christ were prominent. But in later times these three characters were omitted, and a kind of Punch and Judy exhibition was substituted. The Mari Llwyd was always accompanied by a large party of men, several of whom were specially selected on account of their quick wit and ready rhymes. The mode of proceeding was always the same. All doors in the parish were safely shut and barred when it was known that the Mari Llwyd commenced her itinerary. When the party reached the doors of a house an earnest appeal was made for permission to sing. When this was granted, the company began recounting in song the hard fate of mankind and the poor in the dark and cold days of winter. Then the leading singer would beg those inside to be generous with their cakes and beer and other good things. It was customary for the householder to lament and plead that, alas! times had been bad with him, and he had little to spare. Then began a kind of conflict in verse, sung or recited, or both. Riddles and questions were asked in verse inside and outside the house. Sarcasm, wit, and merry banter followed, and if the Mari Llwyd party defeated the householder by reason of superior wit, the latter had to open the door and admit the conquerors. Then the great bowl of hot spiced beer was produced, and an ample supply of cakes and other good things. The feast began and continued for a short time, and when the Mari Llwyd moved away the leader found contributions of money in his collecting bag.
Many specimens of the introductory rhymes, the challenge from without, the reply from within, together with the verses sung when the Mari Llwyd entered the house, and afterwards departed, are still preserved and well remembered.
When the Mari Llwyd was badly treated, the revenge of the party was boisterous. In some places the men forced an entrance, raked the fire out of the kitchen grate, looted the larder, and committed other depredations.
Some people think that the bony horses head used in what is called the "Mari Llwyd" celebration was an emblem of death, or a symbol of the dead, and not a remnant of pre-Reformation days and the Virgin Mary.
I have been told that in the seventeenth and early eighteenth centuries this celebration was called in many parts of Wales the "Mari Llwyd," meaning the "Grey Death," a symbol of the dying or dead year.
The skeleton head and shoulders and the skull of the horse, accompanied by a procession of sight-seers and dancers, point to the Mari Llwyd celebrations as a lingering vestige of ancient horse worship common to the Celts, Teutons, and Slavs.