I've only tried the Pale Rider once, so my sample size of experience is rather small. That in mind, I did have quite a good time with him. He did end up dying eventually (I think on turn 5) but it was the result of a combined effort of three of my opponents models for the previous 2 turns. That, plus the fact that he was laying hurt out as well, was pretty impressive.
The problem with him is that his true potential is only realized late game, so you suffer a little bit when you have a model as expensive as him not doing AS much as 2-4 other models completing the schemes/strategies.
I feel it is really dependent on the schemes and strategies with him.