It depended on the time period and who was fighting. Spartan generals would almost always fight as infantry. Roman generals would usually command on horseback. Parthian generals, and indeed usually their entire army, fought from horseback. The standard does seem to be commanding from horseback though, for two reasons:

1. Command and Control. It's much easier to command a battle when you can quickly move around and see what's happening. Being on horseback also elevates you above most of the fighting, giving you better vision.

2. Status. Owning and riding a horse into battle was usually reserved for the wealthy, at least for the peoples west of the modern day Middle East. It would make sense then that a general would have his own horse.