I love playing first person when I'm lancer cavalry (so much easier to judge the location for the tip of your lance) the down fall is that you can't see around you as easily. I try to keep my head on a swivel, but going out to 3rd person is ideal when I'm not going to be stabbing any time soon.
That and when I am using a ranged weapon (except on horseback) is the only time I go 1st person.