Winnie the Pooh.
I often make young kids feel better
The name most know me by is just 4 letters
Winnie the Pooh is a character from Disney media, often known as just as "Pooh".
Take off the last letter of that name and it might smell bad
Poo would certainly smell bad.
One of my friends is always sad
Pinning the tail on that friend is a fun game
His friend, Eeyore, is a sad donkey; people commonly play the game of "pin the tail on the donkey" at children's birthday parties.
A horse could say part of my full name
Horses whinny, which sounds like the first name, "Winnie".
My favorite food is quite hard to get
And retrieving it often causes a fit
His favorite food is honey - it's very easy to anger bees if you don't know what you're doing.
The color of my fur is synonymous for wanting to hide
"Yellow" means "cowardly".
And I want to do just that at nighttide
Pooh is scared of the dark.