As a light, medium, heavy, and "RHINO!!!" cavalryking, I say that cavalry is effective most of the time. I go positive all the time with: Segmented helm, gambeason, Balanced Heavy lance, khergit boots, leather gloves, Balanced Knightly Arming sword, kite shield, and Heavy palfrey. I also earn money with this...
However, I will agree that horses are made of wet paper. They're like a horribly made origami piece or something.