Answer:
We travel much, yet prisoners are, and close confined to boot. Yet with any horse, we will keep the pace, and will always go on foot.
An iron horse with a flaxen tail. The faster the horse runs, the shorter his tail becomes.
My first master has four legs, my second master has two. My first I serve in life, my second I serve in death. Tough I am, yet soft beside. Against ladies cheeks I often reside.
At the sound of me, one may dream or stamp their feet, At the sound of me, one may laugh or sometimes weep.
I march before armies, a thousand salute me. My fall can bring victory, but no one would shoot me. The wind is my lover, one-legged am I. Name me and see me at home in the sky.
What never gets any wetter no matter how hard it rains?