I don't know about you, but I never heard this phrase until today. I recently received my brand new, hot off the press, ITIL 3.0 books and in Service Strategy is mentioned, "The Golden Pony."
An example of a Golden Pony in the IT world could be a new program written for a simple task. It's adopted by a small number of people and works really well and because of this, it gets noticed by others. So others start using the program and they too find it works really well – the Golden Pony is now off. It's at this point that management takes notices of the program and begins supporting it.
Now that resources are being allocated for the program, the inevitable questions begin. "Wouldn't it be great if it could do X?" And thus the original scope of the program begins to change. The program is now being modified or being used in ways it wasn't designed, but again, the success of the program makes it even more popular. The programs becomes so popular that the limited support infrastructure, helpdesk, training, etc. become so diluted that the effectiveness of the program begins to wane.
It's at this point, because of the number of users and declining effectiveness it gets even more visibility. It's in desperate need of direction and is soon taken under the wing of a "high-level" manager who has no idea what the program is/was really about. The quality of decision-making falls even further, which further reduces the programs effectiveness.
So the once Golden Pony is now so loaded down with stuff it was never designed to carry, the rider doesn't know where he or she is going, so it wanders aimlessly until it dies a slow and painful death.
Be honest – how many times have you seen similar initiatives or projects die a similar death where you work?