Phalanx has the most efficiency so I would advise you to get Helmet of Infantry(Mercenary,Warrior,Archon The ones gives Barracks bonus.) but it is okey to have a Helmet of Horseman too.
when i play def i like to use helmet of cultural point (gladiator, tribune, consul). cause, as a def i will produce phalanx in multiple villages. and the helmet of infantry/cavalry work only on one village. so CP helmet is better as it helps to get more village. and more village means more phalanx