Around 400 BC, the Persian Empire made use of light cavalry in its armed forces. This was before the development of the stirrup, which made heavy cavalry possible. The Persians didn't have big enough horses to use them in heavy cav anyways. Even though they didn't have stirrups, early light cav could still charge with couched spears. They were generally innefective against Hoplites, especially if the heavy infantry caught them in the hills.
The advantage of cavalry is that it lets men attack infantry from above with melee weapons, and it also packs one hell of a punch in a charge. Cavalry is also highly manuverable on open ground. Its disadvantage is that if the enemy's infantry is set to receive a charge with polearms, the cav is screwed. You also have to worry about feeding the horses.
A version of light cav is the mounted archer, which can either be really effective or a total flop, depending on how they're used and what you're up against.