Heavy cav are generally pretty good in low numbers (1-2 per warband). They seem best supported by infantry or flanking, where the lances and knock to the ground (and/or multiple attacks/impale) can help guarantee some kills on tougher models and help break your opponents line, and the extra defense helps to shrug off a counter charge. The main concern is that lighter cavalry with lances/War spears (Serpent riders/Haradrim raiders/Gondor Knights) are generally going to be more efficient and cut less into your model count, so the only heavy cav I'd really look at running frequently for a more competitive list are Morgul Knights, Sons of Eorl, and Knights of Rivendell, since they each offer something unique from other cavalry that adds a lot of value.
Morgul Knights are excellent with courage reduction to make them more difficult to charge (and thus harder to surround/kill), but you don't want large numbers of them because they cut into model count, and they need to be supported to deal with horde armies and block off surrounds entirely. They can be quite good for spearheading your force to get the game rolling in your favor, particularly against low courage armies where the terror really shines.
Mounted Knights of Dol Amroth with Lances can be quite good as shock cav with Prince Imrahil, since they effectively get 3 dice to win the fight on the charge, though I would take Gondor Knights over them if I'm not going for an all fiefdoms list because they are so much cheaper.
Heavy cav are particularly useful against Dwarves and Gondor, where the lances really help cracking the defense 7.
Against wood Elves and horde armies they are less useful. The str 3 bows from elves negate the armor for the horses, and killing them isn't usually a problem, so the lances aren't as relevant, and against Horde armies, it can be difficult to make your points back with 18+ point cav models, as they are likely to be outnumbered in fights.
Monsters can also be a problem for heavy cav because of hurl knocking them off their horses, but the lances can help a lot with taking down monsters quickly if you are able to trap them, as you still get the extra attack on the charge, so it's generally best to keep them back and avoid the monster(s) until you can otherwise engage the monster and get into a favorable position to charge them in with a hero to get an edge on fight value.
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