I visited the Feria de la Caballo in May 2004. I only went there one evening. I just loved the music, the dancing and of cause the food and sherry. We went from one "casetas" to the next, dancing, eating and drinking. It is really nice, looking at the women in there dresses, dancing the Sevillana. They also have parades, hourse shows and bull frights. In 2006 the Feria is from 7.-14 of May. If you have a chance to go, just do it.
One of the most popular fiestas is held in May for a whole week. It is the Horse Feria (La Feria del Caballo). You will be lucky to find any accommodation in Jerez unless booked well in advance.
parade through the city of horse and carriages
taming and riding competitions
trophys for the best horses
largest funfair in Spain
promenading around the Fairgrounds in your best outfit
casetas selling food and drink
The festival ground covers more than 52,000 square metres, and houses 216 casitas. This fiesta has been in existence since 1284 in the times of Alfonso X. There will be about are 200 casetas (literally 'little houses'), structures that range from small tents to large pavilions, from plain to elaborate, serving up food that ranges from the simplest tapas to full-scale restaurant fare, and drinks (lots of sherry of course). Many of the cassitas are owned by the big bodegas.
Pretty much every town in Andalucia has its feria and though Seville's is the most famous, Jerez's horse fair is also a big one. For a week in May, casetas (entertainment booths) are open near the park and people drink manzanilla and dance sevillanas in their flamenco costumes. And of course, there are horse-drawn carriages and people riding horses going back and forth in the fairground streets! The people are proud of their horses and I even saw someone make his horse walk sideways (there is an equestrian school in Jerez where they teach horses to do tricks).
The Jerez feria isn't as exclusive as the Seville one - most of the casetas are open to the public and just have an area roped off for the members. It's also less crowded.