My horse LOVES it... she'll happily "lunge" herself around me on a 20 m -ish circle (the school is 20 x 60). And if I have a friend we can get her to do the whole school, changing the rein in a figure of 8.
It's a good opportunity to see your horses natural paces - and you will become incredibly aware of your body language and position in relation to wear your horse goes. If I step slightly in front of candy's movement, she'll instantly change direction in a neat outward pirouette move...
I generally loose school with no tack, just a head collar. I would boot up a horse I didn't know as well though - and obviously the school has to be secure! Definitely wouldn't do this on your own the first few times either.
I also loose jump - Candy thinks this is the best game ever. We build a fence that can be jumped in both directions on one side - I say "go" and she jumps it, turns neatly and jumps it back before halting at the bottom of the school, waiting for the "go" again. She's so funny, just about containing herself to wait while the jump is adjusted before cantering down to it, looking at me, proud as punch. Persuading her to jump the fence in one direction only is much challenging. And persuading her to jump sensibly only happens when it goes over 3' - then she trots at them!
