Any that I’ve tried just end up trapping horseflies under them in the horse’s flanks.
We use masks and boots.
I use fly sheets. Light colored with belly and neck guards. My mares are not super sensitive, but they do occasionally show so I don’t want them covered in bites, bumps or anything else. I use them when the flies pick up in the spring, and use them until we get a good frost in the fall. It’s important that they are well fitted! I use masks year round, during daylight hours, to protect eyes from UV rays (yay for blue eyed horses!). I use boots if I seem them stomping. If it’s 85f and high humidity all fly gear comes off, and the horses are inside with fans during the heat of the day. I also apply fly spray twice a day. I haven’t had any issues with this routine in 3 years. 
I do. My sensitive redheaded old man would be miserable without it and his fly mask. It does get hot here in the Summer, but he is no more sweaty w it than without. I really like the SS Tack mosquito mesh. Very breathable.
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As others have said I think you have to go with what the individual wants and your specific climate. My mare doesn’t seem too bothered by flies/bugs, but is bothered by excess heat and frankly I’ve never found a fly sheet that doesn’t seem to pull right at the front of her neck, so we do a fly mask and fly spray with overnight turnout, and indoors with a fan during the day. I don’t do leg gear as I see very little stomping from her.
Some horses would rather sweat than be bothered by them, so fly sheets make sense. If the temps get REALLY high, my barn leaves fly sheets off all horses and just does extra fly spray.
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I am in the “she’s more uncomfortably hot with the fly sheet than she is bothered by bugs” school!
Personal preference of the horse for me. My mare gets huge welts the size of my hand from fly bites so she wears a sheet. My other horses is fine with flies so she does not.
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I have a few on my farm that will rub their manes and tails out without a fly sheet. They are the only ones that get a fly sheet.
My horse wears a fly sheet. The bugs make him run like crazy.
When it’s hot as heck, he doesn’t sweat or appear any hotter than horses that aren’t wearing sheets.
When it’s deathly hot, horses need to be inside under fans or they get, well deathly hot, regardless of if they are wearing a fly sheet or not.
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