A sleigh is a large sled that's pulled by horses, or in the case of Santa Claus, by reindeer.
A sleigh is usually big enough for at least two passengers to ride in. Most sleighs travel across snow or ice, sliding on smooth runners, and are pulled by one or more horses. In Britain, this is more often called a sledge, or sometimes a sled. In North America, a sled is much smaller than a sleigh, and it's used for fun rather than transportation. Sleigh comes from the Dutch slee.