Some things i do, which is probably going to be repeated:
Soak hay if you dont have access to lower quality hay.
My fatty currently gets chaff, with his minerals and I use kindncool as a cheap "nothing" feed as a filler - even then he gets no more than a cup full per meal. I was using Hygain zero which my boy loves, but it got ridicously expensive down here.
In terms of feeding them something so you dont "feel sorry for them" - that used to be me.. but the way i look at it now is, i have to be realistic, they are animals, they rely on us to provide food, hell if we gave them sugar coated popcorn they would probably eat it (and their teeth would rot and fall out hahaha) but ultimately we have to put aside our humanistic feelings ie us feeling sorry for them, because ultimately if you have a obese horse, you could be causing all sorts of other problems and ultimately there is no one to blame for their obesity except us.
For me it means, i literally give him his feed an run (so to speak) so that i dont see his "sad face" at the fence if the other horses are still eating. It also means that i exercise him more, if i cant get out to ride him, I lunge him or i find someone who can do it for me if im away or cant make it for some reason. I make sure that if he is in a paddock with excess feed, its slashed where required, or its grazed well - it may mean sharing a paddock with cattle, sheep or other grazing animals if you are in that situation.
Our horses rely on us to keep them in shape, so its about commonsense, getting up earlier in the morning or going to bed later in the evening to fit it all in (or getting help). We choose to own/lease/borrow/bred these horses so as a responsible owner feeding is just a small part of the general care of the horse..
i think im ranting now! Sorry