A concept I came up with recently, but haven't really tested to any good extent yet, is placing your general in a decent melee unit and placing him to the rear center of your main combat formation. The idea is that his presence right behind the front line gives a morale bonus to the melee troops and with good melee skills, he can also shift to protect the flanks from being overwhelmed, if need be.

You can also take the "traditional" route and place your general in a cavalry unit while still using him in that function. I'd imagine that putting him in a Cav Archer units would be very nice, since he could provide decent fire support and at the same time bring more HTH punch into protecting your flanks than a unit of foot archers.