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As both a collector and a small scale manufacturer (www.valdemarminiatures.com) I have the following cavalry sets on my most wanted list:
VA202 Teutonic Cavalry Command
Know this is one of my own, but with seperate heads, weapons and some very impressive sculpturing, this is a very nice set and also the pose of a knight mounting his horse is special.
Revell's Chassears and their Household Cavalry I think - guys just sitting, swords a believable length, delicate detail, nicely proportioned, round-looking figures. Two of the nicest sets of any subject.