Feeding can be somewhat complicated, depending on what you have available, the quality of it, the amount you feed, and what you desire your animal to look like. The "show animals" you see are usually on pretty controlled diet/exercise programs.
As to the protein question, I don't think you will be feeding too much protein with hay unless you feed straight alfalfa. The legume hays have very high protein contents which can be in excess. Grass hays usually don't have that issue.
My favorite grass hays are Orchard and Timothy hay, but they have to be not-too-stemmy.
I personally would avoid weedy hay (and thistles) if possible just because I've known a couple horses to get mouth abscesses. One got a thistle under it's tongue and it worked it's way out of the bottom of his jaw by the time it was done, pretty gross.
Some hays can be gassy, and cause a bloated look.
As to the "old man gut" well that is pretty common! It's much easier to keep a young horse fit and tucked up. That's why a lot of the horses that are showing in halter are youngsters. It's by no means impossible to get a fit-looking older horse, it's just a tiny bit harder as their metabolisms slow down.
Andrea