Although the late 19th century is probably the twilight of cavalry, I still enjoy using it in this game in scouting and mopping operations. I think, however, that it has to be used a little bit differently in respect to earlier AGEOD (especially those of the antiquity that also use elephants) titles.
For me the best use of cavalry so far is mostly as an independent leaderless unit that is always (or almost) at attack stance so it can engage an enemy army (or partisans, insurgents, rebels, etc) as they move into a region or as your own army moves to another region (acting as a vanguard). Its rules of engagement should accordingly be "hit and run". It is also very useful attached to a 3-star General stack (with other fast units ONLY possibly) in the back where it can march-to-the-sound-of-guns quickly and decisively and engage with already damaged units. The hefty health/cohesion hits cavalry can deliver, are devastating at point blank (where the 2x charge damage takes place), virtually destroying any wavering rival.
On the other hand, it is really a bad idea to attack an already entrenched rival with mounted units, especially if he has artillery emplaced. It will needlessly take enough damage and cohesion loss to almost die before making contact.
What are your thoughts on the matter? Personally, can't wait for even heavier units like late-game armored cars and tanks!!