Playful:
* Wave Rider
* Surf Pony
* Salty Mane
* Seafoam
* Surf's Up
More Descriptive:
* The Mane Attraction (if the pony has a particularly impressive mane)
* Ocean's Fury (if the pony is a powerful surfer)
* The Beachcomber (if the pony is a bit of a wanderer)
Silly:
* Hoof-a-doodle-doo
* Surf 'n Turf
* The Mane Event
Ultimately, the best name depends on your personal style and the pony's personality!