[William Cloud Hicklin]

Cavalry has remained useful in certain niche roles, right down to the war in Afghanistan. Horse was used widely in WWI on the Eastern Front and in Palestine with wide-open spaces to maneuver in. But the trenches of the Western Front was no place for them. Although the Germans did have "cavalry" regiments there, by 1916 they had turned in their horses and were infantry like everyone else.

In WWII in Russia, both sides used cavalry* because for so much of the year terrain was simply impassable for wheeled and sometimes even tracked vehicles. Cossacks in particular made something of a specialty of raiding German supply lines in the dead of winter.

As for the US in the Philippines, the 26th Cav (in fact a Filipino unit) did good service covering the retreat to Bataan; however it wasn't a "charge" but a delaying action.
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*As well as horse-drawn transport. Legend aside, the "mechanized" Wehrmacht moved most of its supplies and artillery with horses; a standard infantry division had 15,000 men and 5,000 horses, and there were as many vets and farriers as there were doctors and medics.

NB: horses do too burn fuel- and they burn it whether they're working or not. For thousands of years of organized warfare, one of the biggest logistical headaches was simply providing and transporting enough fodder.