Although you will not be able to capture villages with your Cavalry you will be able to use them to easily breach the enemy lines protecting it and cause havok behind the enemy lines.
Dogs can be used against any foot-based enemies such as soldiers, spearmen, and archers as they are vulnerable to a dog's bite. Dogs can be particularly effective when they are part of a pack of dogs that has the enemy surrounded.
Use Dogs as Scouts:
Dogs have the advantage over any other unit in foggy maps in that they can 'see' through trees which enables them to spot enemies hiding in the forest.