Toys 'R' Us #760218 Stablemate World of Horses Shadow Box - Thoroughbred (2010) on the top is nearly identical to #5906, being bay with a small star and near-hind sock, but the colour is more yellow-toned and the finish is closer to semi-gloss.
#5906 Thoroughbred - Mahogany Bay (2006-08) on the bottom is a red-toned bay with creamy shading, a small star, and a near-hind sock. The finish ranges from matte to satin.
#5907 Hanoverian (2009-11) on the top-left is a soft orangey chestnut with no white markings except for eye-whites. The Walmart #97245 Horse Crazy Surprise (2017-current) is said to be identical to #5907, but I have not seen one in person yet.
JCPenney #410176 Stablemates Parade of Breeds - Thoroughbred (2006) is a bright chestnut with a metallic finish, blaze, eye-whites, and three socks, not near-fore.
World Equestrian Games #9128 Stablemates Shadowbox (2010) is a dark chestnut with flaxen mane and tail, blaze, and four socks.
#5397 Horse Crazy Gift Collection (2015-Current) is an apricot chestnut with a satin to semi-gloss finish, shaded joints, and eye-whites.
#59193 Stablemates Horse Crazy Stable (2017-current) is lighter than #5397 with a pearly/metallic finish, lightly shaded pasterns, and self-coloured mane/tail.
#59200 Stablemates Tack Shop (2006-08) is a flea-bitten grey with grey speckles, grey mane/tail, a blaze, and three socks, not near-hind.
#6021 Super Sporty (2015-Current) is a rose grey (bay going grey) with off-fore and near-hind socks, white tail tip, and eye-whites.
Many thanks to MySt of My Stablemates for providing pictures for this post!