Cavalry units are situational. Their primary issue is their lack of durability for a large based, expensive unit. I often think the points can be better spent.That being said, they do offer opportunities other units never could. Their speed is almost unmatched and Vengers have some of the better abilities on cavalry models.
If you're still hovering around the 42 point mark as your signature suggests, I would look at picking up Daughters/Flameguard/second Reckoner/additional warcasters before I'd get them. They're a sizable investment that shine in few lists.