In Red Dead Redemption: Undead Nightmare, Can I Brew Tonic

The advantage on buying a horse is that you will be able to call that -kind- of horse back even when it dies. Thus, if you buy a nice horse such the Kentucky Saddler, American Standardbred or Hungarian Half-bred you won't need to break them again to use them.

By the way, once you buy a horse it won't automatically come to you .. you must open your inventory and use the item you bought representing the horse... then, the horse you were using will go away and the 'item' horse will come to you. This item representing the horse has unlimited uses.

That does seem to be the fastest way. You could also try riding as a passenger in one of the stagecoaches set up on the edge of one of the towns.

Alternately, in free roam you can go to one of the wagon wheel markers in a settlement, but that works pretty much the same way.