Rough Rider Squad

Models have a 4" coherency instead of the regular 2"

A cavalry model is treated as a single model, and if the rider is slain the entire model is removed.
Cavalry models use the rider's Leadership characteristic value for all tests that require it.
For Movement the Mount's characteristic is used. 
When the cavalry model is attacked the rider's Toughness and Wounds characteristics are used. 
Cavalry rider gain +1 to their save
In close combat the rider of a cavalry mount adds the steeds Attack characteristic to his own.

See pg. 17 of 40k Rulebook for more clarifications