My recommendation is to pick two specific types of weapons and get good with them.
If you're going to be mounted, I recommend polearm (the lance rules all) and archery (you'll want the ammo if you or your horse are badly hurt enough that you want to avoid a lucky swing).
If you're going groundpounding, I recommend single hand weapons (shields are a blessing sometimes until your troops can catch up with you), and throwing, as the jarids and javelins can really help with a shield or two against weaker enemies, and have enough damage to poke someone's eye out, or more importantly, to drop a horse in one or two hits.