We have ours insured with South Essex Isurance Brokers, very reasonable and several different levels of cover to choose from, they've always been very good - had to make a claim once after an attempted theft which left us with a damaged lorry, but they sorted it out very quickly.
I have NFU and they do a 'horsebox rescue' which I would thoroughly recommend. For a modest extra price, it means if ever your lorry breaks down, they'll take your horse home and your truck to a garage. I've always been anxious about what would happen if you broke down on the way to or from a show! It's happened to friends and they convinced me it was money well spent.