My Favourites:
1) Rider. Love their strength and speed.
2) Immortal. First UU I ever used in a CIV game (not including the tutorial

). Powerful, but comes up 2nd since I prize speed so much.
3) Sipahi. For similar reasons as the Rider, but pricey.
4) Swiss Mercenary. With these puppies, your set defensively.
5) Javelin Thrower. Free workers!
Mounted Warriors are terrible defensively, so unless you bring up defensive units to protect your wounded units, they will be decimated. And since the defensive units are not as fast as the MW, it sort of blunts their effectiveness. So I'm not a big fan of the MW.
Panzers are awsome, but come too late in the game. I've only had one successful run as the Germans and saw first hand their power. I guess they're ideal for any final push in a domination/conquest strategy.