Best unit in the codex, hands down. They're expensive as

, but you get what you pay for. A unit of four Cavalrymarines with wargear will set you back as much as a Land Raider--but you don't have to worry about the entire unit getting taken out by a lucky lascannon round. Bit of advice: when you're choosing wargear, make sure that none of your Cavalry models are mechanically identical to any other model in the unit. This really helps out with wound allocation.
EDIT: Tsilber, thanks for telling me about Mr. Dandy! Those wolves look fantastic, and they're certainly cheaper than converting multiple Canis models would be.