I'd recommend only going the agility needed for the horse you want to ride. The Arabian warhorse is the best horse in the game (IMO, at least playing on the battle servers, in strategus armored horses are best). Followed by the courser or destrier. However you only have 5 or 6 power strike with the arabian, which is on the weak side when you're infantry.
You also need to decide if you want to put WPF into one skill or two, if you want to use a shield or not. This will all affect your build.
Since I decided on my first gen I wanted to ride the fastest horse in the game, I used this build (from gen 2 to 13), at level 30:
Level 30 (4 420 577 xp)
Strength: 18
Agility: 18
Hit points: 55
Converted: 2
Ironflesh: 1
Power Strike: 6
Shield: 4
Athletics: 6
Riding: 6
Weapon Master: 6
One Handed: 120
Polearm: 119
If you're going to want to use a shield, I'd suggest also using 1h WPF. If you aren't going to use a shield, I'd suggest putting all your WPF into polearms (and carrying something like a bec or long bardiche as your backup weapon).
If you aren't going to use a shield, then I would suggest at level 30 you go 3 more strength (21/18) and convert some more skills to attributes (will need to lose the 1 IF, and drop down to 5 WM, but that won't be noticeable to you).
If you are going to ride a destrier, then go 21/15 (if using a shield, 24/15 if not). If you want to ride an Arabian, go 15/21 with shield, 18/21 without).
Whatever you do, always plan your build from the beginning, and make sure you are maximizing it throughout each level:
http://sayginsoher.com/merccrpg/calculator/One more thing about lances, I prefer to use the regular lance (always used the heavy lance until the damage was nerfed a while back). Heavy lance is the lance to use if you want to go head to head against other lances. Since I think this is a really bad way to play lancer cavalry, I switched to the lance. It's faster and does 5 more damage than the heavy lance (that's a huge difference). I think lancer cavalry is the most effective (for your team winning the round) by attacking enemy infantry who are unaware of you, and then attacking enemy infantry that are "good" players (or heavily armed) when they are fighting with your own teams' infantry. I typically only go after other lancer cav when I get A.D.D and am not playing necessarily strategic.