Every season of Game of Thrones brings with it the same thought: “all-mounted Chaos army”. The mental image of waves of Marauder Horsemen and Chaos Knights charging across the board is an arresting one. In the meta sense it presents challenges different to the usual tactics of Chaos Warriors, putting more emphasis on speed and maneouvre than anchoring the battle line around large units of elite infantry.
So what would actually be in this army and how would it work, in theory?
Every character class aside from Daemon Princes have mount options so really the only question is what to mount them on. Your barded Chaos Steed is cheap, allows you to put the character in a unit and can't be shot out from under you. The generic Daemonic Mount has a lot going for it for the price: WS4, Strength and Toughness 5 and 3 Wounds is nothing to sniff at for 35 points.
As to the power-specific mounts, personally I'd say the Palanquin of Nurgle is too slow at only Movement 4; the Disc of Tzeentch 's has Fly so, to my mind, is best used to give a spellcaster maximum mobility; Slaanesh doesn't get a specific mount anymore; and, Juggernauts we'll deal with later.
Chariots (be they drawn by Chaos Steeds or Gorebeasts) have great potential as centrepieces and the extra hitting power will definitely come in handy.
As to monsters, well, that comes down to personal taste. I do want some monsters in the army because monsters are an essential part of any Chaos army. That said, I want the characters to maintain the cavalry theme. Plus, I've never been much for monstrous character mounts, just personal taste.
The way I see it, you have two basic types of unit here. First, you have your fast cavalry units in Marauder Horsemen, Chaos Warhounds and Hellstriders Of Slaanesh. What we're talking about here is an army that is super eleite even by Chaos standards so one phase of the game you want to be very dominant in is Movement. You want to be dictating the agenda of the game and luring your opponent into positions where you can really take advantage. Fast cavalry units are great for this. All those free wheels and Vanguard moves mean you can offer a credible threat to your opponent's backfield reallt early in the game so they have to choose between dealing with those units or holding their nerve in the hopes they can take down your heavy hitters before the fast units are in a position to do real damage to them.
Speaking of heavy hitters: Chaos Chariots, Chaos Knights, Gorebeast Chariots and Skullcrushers Of Khorne. Powerful hammer units who can do a lot of damage on the charge, especially true of the chariots with their impact hits. You need to maximise the amount of damage every charge does with an army like this: impact hits, flank charges, multiple charges. Plus, all of these units look amazing. The downside of this, of course, is that all these units are instantly recognisable high priority targets which is why you need the cheaper, faster units to distract your opponent and present them with difficult choices.
In the main, the other units that fit the theme and have the speed are monsters. Either big fellas like the Slaughterbrute, Chaos Giant and the Mutalith Vorext Beast or monstrous infantry like Chaos Ogres and Dragon Ogres. I certainly want Dragon Ogres, who have the added benefit of standing on four legs so they're basically cavalry, right? Whether the other monstrous units fit your view of what a cavalry army should be is, of course, entirely up to you.
The Warshrine, though, I think definitely works with the theme. True, it isn't pulled by horses unless you make a conversion but it is definitely a mount. I personally wouldn't use it as a character mount because I'm very aware of the importance of not putting too many eggs in one basket with super elite armies
The obvious, foreseeable problem with this army is the problem with all elite cavalry armies: you don't have many guys. Your units are vulnerable when charged because they have zero standing combat resolution unless you sink points into taking a second rank: expensive for the hammer units, practically pointless for the fast cavalry. Add to that the fact that most cavalry weapon buffs only come into play on the charge. You would have to hit hard and early and be take the gamble that you're break the units you were charging to prevent counter-charges in the next turn.
On the plus side...
Low model count means you can dedicate more time to painting and to create interesting conversions. God-specific chariots, for one thing, interest me as a concept. The Gorebeast harness components, I know, can easily be adapted to accommodate a Beast of Nurgle and Juggernauts are about the same size. Then there's the every popular head swap to create God-specific Knights: Skullcrusher helms to create Khornate Knights, Hellstrider heads for Slaanesh and so forth. There are also a number of fantastic Storm Of Chaos era mounted Chaos Lords to choose from.
The only real problem is that it would be a very hard army to learn. Not much of a problem for mebut I can understand how it might put people off.