Actually, the Heavy Great Long Axe is also very deadly on horseback, you just need to press X and you'll wield it like a 2 handed weapon, allowing you to swing it, instead of just thrusting when it's in polearm mode.
However, in order for the 'switch weapon mode' key to work on horseback, you need to set the 'Lance Couching' to easy or hard, not automatic, in the options menu.