Pegasus is a character from Greek mythology, a horse with the ability to fly with the aid of two large wings.
He appeared in Muppet form in episode 102 of The Jim Henson Hour to punctuate the "Merlin the Magician, MD" sketch. Merlin's Assistant announces his arrival, as he crashes through the ceiling. He requests Merlin take him to the horse-pital. Merlin sees him ahead of his current patient (a guy with a fish through his head), following his credo of never putting "the carp before the horse."