Hmm, Akka has a good point about the French UU. You really would have to rebuild your entire defensive force... and defensive units tend to be the majority of my military. Wow, the French UU stinks. The French do have a good mix of attributes, though.
I object to horsemen upgrading to samurai because samurai aren't horsemen, they don't have horses, they have nothing to do with horses. It might seem silly, but that's how I see it.
I don't agree, Buecephalus, that horsemen suck. They are good scouts and are good for softening up a target because they can retreat. I like to attack with a couple horsemen and follow up with swordsmen. Also, because they have the extra movement point, they are good units to produce in my rear cities while those closer to the front are cranking out spearmen and swordsmen.
Anyway, as the rules currently stand, the inability to upgrade to UUs is just another strategic consideration. For example, Persia and Roman players should build less warriors then they might if they were using another civ, because of how warriors are a dead end for them. Further, one has to plan for the big war that follows the appearance of the unique unit by building barracks and getting alliances ready for the inevitable war. It's also smart to change governments PRIOR to the appearance of the UU because spending time in anarchy during your golden age isn't the smart way to play.