My dads next door neighbour (by next door I mean half a mile up the road, but it's the closest house) has a pet sheep, a pig and a shetland pony. He lets them run around the house and the fields and from what I've seen they seem pretty well trained. They stink a bit, as does the house, but you have to admire the guy. What worries me though, is that he's in his late 50's and has never been married.
He lets his shetland pony run around the house too. Before I knew about him, I went up to bring a letter which the postman had delivered to my dads house. When the guy answered the door, I was quite surprised when a pony squeezed past him and ran out of the house.
So I suppose they can be trained as pets but you wouldn't want them running round your house.