I had two horses founder this winter due to, I think, hoary alyssum and some other plants from the mustard family, in hay from a supplier I had not purchased from. I also now have a noxious weed problem in my pasture, weeds from the hay, weeds I have never had in more than 20 years of feeding hay in that pasture.
Try to break open a bale at the very least, and inspect it. Expect to pay for that bale, if you choose not to buy any more, or pay for it within the lot you buy. Determine, as best you can, that the hay you buy comes from the very lot you looked at. I have had that one pulled on me, too.
Ask what oher horse owners the hay dealer supplies. If he or she sells only to beef ranches be suspicious; sometimes very poor hay is fed to beef. You want to know that this hay is going to others who have horses.
Make yourself familiar with poisonous weeds in your area either through online publications from universities or agricultural departments or through books on poisonous plants of pasture management for horse owners.
What hays do people around the country feed? Do any of you pasture on or feed Canary Reed grass? Are people familiar with endophytes in some grass seed?