I've been told that there is only a canonical way for doing the vertical subspace of the tangent bundle of a manifold and in order to do the horizontal subspace you need a connection. These are very elementary question, but I've just passed over them during my studies so I guess it is a good time to ask:
1 - I have no intuition whatsoever about a connection. What intuition is there to have?
2 - Why can't I simply take the orthogonal complement in each fiber to produce the "horizontal subspace"? (Answered).
I'll try to give an intuitive answer, and I'm aware that it might be imprecise in some points. For a more detailed answer, try and have a look at Choquet-Bruhat Y., DeWitt-Morette C., Analysis, manifolds and physics.
When you consider a tangent bundle, you are attaching "continuously" a vector space to every point in the manifold. This tells us that, at least locally, we can imagine the bundle as a copy of $\mathbb{R}^{2n}$ where the first coordinates (horizontal) are coordinates of the manifold, and the others are coordinates on the fibres ("vertical"). Hence, it is natural to think that a vector which is tangent $\textit{to the tangent bundle}$(!) can be decomposed in two different components, one along the fibre and one along the manifold. Locally everything is fine.
Now, the issue is the following: pick a point $x\in M$ and a vector $v$ in the fibre over $x$ (i.e. tangent to the manifold at $x$). Move some steps away from $x$, to a point $y$ on the manifold. There is NO canonical way (in general) to say what happened to your vector $v$ when you changed your point. In other words, there is no natural "parallel transportation" of your vector. The problem arises because moving from $x$ to $y$ you might change the basis of the fibre, and directional derivatives behave pretty badly with coordinate changes.
A connection is a tool designed to solve this problem: it "connects" the fibres to one another, and tells you how tangent vectors are transformed if you move along a path on the manifold. This might take some time to sink in, because it's pretty far away from the formal definition of a connection. However, it is exactly what you need to tell apart the two different directions of a tangent vector of the tangent bundle: vectors which are "horizontal" are sent to zero by the connection, which instead transforms vectors in the fibre, which are "vertical".