Paladin is an interesting class in that there don't seem to be any core prestige classes that make you a better paladin; they take away bits of the package and add others.
A straightforward paladin has Smite, Spellcasting, Mount, and Lay on Hands as major abilities that advance with the paladin's level.
Pious Templar gives weapon specialization (and therefore melee weapon mastery access), mettle, smite progression, and an independent spellcasting progression using paladin spells that doesn't fall behind paladin until you finish the class. It does not advance the paladin's mount. IMO, it is a very strong paladin prestige class--especially if you use the charging smite alternate class ability from PHB II.
Hospitaler gives mount progression, most spellcasting progression, and lay on hands progression, but does not advance smites. You end up wiht some bonus feats out of the deal. I think it's a decent class for a paladin who wants to focus on mounted combat but am not particularly impressed by it.
Fist of Raziel is reputed to be a strong prestige class. It increases smite abilities and gives almost full spellcasting. It does not advance mount or lay on hands abilities.
Cavalier advances your mount ability at the sacrifice of all your other paladin abilities. You get a variety of abilities that make you a more deadly mounted combatant. If that's your thing, it's a decent prestige class; otherwise don't bother.
Sword of Heironeous gives half advancement to spellcasting and improves no other paladin abilties. In return for that, you get a bunch of sword improvements that you have to spend a combat action to activate. IMO, it's a terrible class for a paladin though not terrible for a multiclass fighter/cleric (Fist of Raziel is far far better for such a character, but Sword of Heironeous is marginally better than a 1/1 fighter/cleric multiclass)
Divine Crusader advances no paladin abilities and suffers from 3/4 BAB, but does offer very strong charisma based spellcasting from a single domain (9th level spells over 10 levels). It is good for a paladin, but after four levels, you are probably best advised to trade it out for another prestige class that will advance its spellcasting without killing your BAB. (Warpriest (bonus domain Glory), Hospitaler, and Fist of Raziel come to mind).
Shadowbane Inquisitor offers a separate smite progression but does not actually advance any paladin abilities. What it does do is let you combine some rogue skills with paladin abilities and improve your combat ability through sneak attack. It's a solid class but I don't see it as an obvious improvement on a single class paladin--it's just different.
Grey Guard offers smite progression, lay on hands progression, and half spellcasting progression (I don't remember if it offers mount progression). In return for the reduced spellcasting, you get to atone for evil acts more easily (as long as they were done in the service of your temple), some different skills, and a variety of alternate lay on hands abilities (inflict, etc). Like Shadowbane Inquisitor, it lets you be a different kind of paladin, but it gives you different tools not better ones.
Anointed Knight lets you trade progression in all of your paladin abilities for some funky power suites you can choose. Again, like many of the others you get different tools but not better ones.
Dragonslayer (Draconomicon) is another choice though I don't remember much about it.
You shouldn't neglect the possibilities of base class multiclassing though:
Monk: A boost to saves, several useful feats, good skills, and evasion, all for the cost of one point of BAB. Not too shabby if you plan to wear light armor anyway. If you are handicapping yourself by playing a halfling paladin, you can use a racial substitution level to pick up 1d6 skirmish damage instead of flurry of blows (which you may not care about if you plan to wear armor and wield a sword anyway).
Marshal: One level lets you give all your allies your charisma bonus to certain abilties. It gives you Skill Focus: Diplomacy too but you probably don't care. It's either good enough because you maxed ranks or it's irrelevant because you have no ranks. Two levels lets you pick Motivate Attack aura and partially make up for the hit to your BAB as well as buff your allies. Four levels gives you a second choice for your minor aura and grant move action once per day.
Knight: Extra hit points, a few bonus feats and some special abilities. Like Paladin, Knight is a class you can take all the way to 20 or stop somewhere between level 2-4. Multiclassing with Knight will give you different, but not better abilities, which will mostly amount to some slight defensive improvements and a few battlefield control options.
Sorceror: Back this up with Spellsword, Eldritch Knight, Knight Phantom, Abjurant Champion, and/or dragon disciple. These essentially turn your paladin into a fighter/wizard with great saves and a code of conduct since you give up your paladinly abilities for arcane spellcasting and related abilities but it's a solid option for a paladin character.