You might be determined to include them in your army for this reason alone. It's a good enough reason for a friendly game but might not be your best choice in an 'unfriendly' game.
The problem with Pegasus knights is that they don't pack much of a punch per buck (especially in rounds subsequent to charging). Or at least, they don't pack much punch in comparison to ranked up units. Pegasus Knights are quite costly and despite a unit strength of 2, you can expect to be outnumbered and very out ranked..
Also, remember that you have to take at least 3 (that's 165 points). Quite a hefty price to pay for a unit that is not really cost effective in combat.
What the Pegasus Knights lack in value for money they make up in value for tactical flexibility, so to speak.
They open up a few more battlefield options to you. From scattering skirmishers, rear attacks and war machine crew assassination.
If you're fighting Empire or Dwarfs, you need these knights to counter their war machines. You don't have a lot of option in the matter unless you want to 'waste' points on Tebuchets and Trebuchet protection units. This might seem like a viable option and a double bluff but I prefer to concentrate my points on my army's strengths rather than weakening them by trying to take into account every battlefield scenario.
If you opt for Pegasus knights remember you can only take 1 unit. Don't feel tempted to make it a large unit if you're playing a 2000 pt game. Rather take a unit of between 3 and 5 which will be enough to take on any skirmishers or better still Warmachines.
Try to skirt around the enemy's key missile units. You should be ok against 'bog standard' skirmishers (Pegasus Knights have an armour save of 3+ and a toughness of 4). Make sure you steer clear of the likes of Wood Elf bows and out of the field of fire of other missile troops, especially gunpowder ones or any others with a minus armour save modifier.
Your Pegasi will make mince meet of any warmachine crews. Watch out for a flee tactic which they might use to allow any protecting troops behind them to charge you or invite you to follow through with your charge. You don't want to fight any unnecessary combats in the early rounds, once a war machine crew has fled move onto the next one, your job there has been done (unless they rally in which case they have lost at least a turn of firing and you can always come back for them later).
After warmachines your next priority should be :-
1) unaccompanied enemy spell casters
2) other flying enemy units (not characters) if you took a trebuchet
3) interferring skirmishers (but not elite missile troops) and
4) March blocking your enemy for a tactical movement advantage or even forcing frenzied enemy units to charge you (fly off) and counter flank charge with horse mounted knights.
Well, good luck with your Pegasus Knights, they're awesome models so use them well. I hope you found my thoughts useful.
Pegasus Knight Photo © Games Workshop Ltd. All rights reserved. Used without permission