Really depends on your strategy and play style. The last edition nerfed cavalry a bit, so it is not so simply point-and-click knight units anymore. However, beyond the obvious, here are some units I never leave home without:
1. PKs - 3 are golden for warmachine, mage, gunline hunting and the swoop in for a rear attack.
2. Bowmen - they are cheap as dirt and have a 30" range and for 5pts you can add flaming attacks. Your opponent will spend effort trying to knock even a little unit of these out.
3. Trebuchet - the best stone thrower in the game and also cheap as dirt for what it can do.