In the sentence "Los caballos dicen 'neigh, neigh,'" the underlined word "caballos" means horses. This is because "caballos" is the Spanish word for horses. In the sentence, it is indicated that horses say "neigh, neigh," which is a sound commonly associated with horses. Therefore, the word "caballos" refers to horses in this context. So, the correct answer is:
O horses
By understanding the context of the sentence and the sound associated with horses, we can determine that "caballos" refers to horses in this particular sentence.