Interesting question. There's no mention of any penalties where I would expect to find them:
PHB:
P 43, The Paladin's Mount
P 68, Handle Animal
P 72, Ride
P 83, Mounted Combat
P 112, Mounts and Related Gear
The only mention I found in the MM is this:
"Creatures not listed as wearing armor are not proficient with armor."
That said, the rules are pretty clear on how wearing armor that you're not proficient with affects you. I don't see any reason why it should affect animals any differently than it affects other monsters.
But, there are lots of mentions of the penalties associated with mounts wearing armor. They mention reduced speed, reduced ability to carry a load, chafing, etc. You'd think they'd mention the "armor penalty to attacks" thing if they intended it to be an issue.
Not that this is particularly official or anything, but here's an example of an armored paladin's mount that doesn't suffer any armor check penalties to their attacks:
http://www.wizards.com/default.asp?x=dnd/cc/20030622a&page=2
I would rule that animals trained for combat (warhorses, warponies, etc) are assumed to be trained in medium armor use. Training an animal to use armor would follow the Handle Animal rules for teaching tricks. I'd probably have light armor proficiency take up 1 trick, medium 2 tricks, and heavy 3 tricks. Or maybe just 2 tricks across the board. Further, I'd probably allow paladin mounts and familiars to have the same proficiencies as their master.
The lack of armor proficiencies is something I've noticed in modules fairly frequently. Some designers think you can just slap a suit of platemail on an ogre, and he'll be fine.
Hope that helps,
Spider