I use cavaliers a lot more in earlier chapters before my mages have been trained up, but once they have been, I tend to prefer sages/bishops over everything else. Myrmidons are always a lot of fun to use, though, and I like pegasus knights despite their frustrating weakness to arrows. I seem to prefer the most versatile units, hence I usually promote cavaliers to paladins.
Haha, Tharja's a fun character, and can't argue that she's a beast! The Dark Mages are practically unstoppable once you can buy Nosferatu.