Rumbleroar, I hardly knew ye...
Dwarven mounts? Come on. Could there be anything better than dwarven bear cavalry? I think not.
While training isn't the easiest thing in the world, it's so worth it. They're strong as heck; a brown bear can carry, according to the way encumberance works in 3e, about seven hundred pounds before it's even encumbered. It's a six hit die creature that can rip apart just about any other non-magical fighting mount. Most of the time, it's going to be nastier in a fight than the dwarf it's carrying. Add a few mounted combat feats, some fitted barding, and a dwarven fighter/ranger with a reach weapon, and you've got yourself an engine of death on your hands.
Of course, this is strictly above-ground. I've never really thought that mounts would be used in an underground setting; they'd be fairly impractical, since they probably wouldn't be able to travel much faster than their masters in such terrain. Foraging is also a bigger concern underground; your odds of finding food or even water are likely lower.
That said, dwarves would want mounts to keep an eye on their mountain homes. The two best creatures for this purpose, IMO, would be either bears or bighorn sheep. Both are native to the terrain, are large and strong enough to serve as mounts, and would provide enough benefits to make doing so worthwhile. Bears would be good for combat, mostly - they would be the elite shock troops, the equivalent of heavy cavalry. Not very good at scouting, as they require a lot of food (short range due to high resource consumption), as well as not being able to go that many places that a horse can't. But for straight-up killing, it's hard to beat a bear in plate barding with a trained dwarven rider. Bighorn sheep would be the scouts and message-carriers; they'd be able to go to outposts on mountain peaks, scale faces that other mounts (and even some people) wouldn't, and can forage better than something like a bear, and likely comparable to a horse. They're also pretty quick, as I recall.
That said, I have played a dwarven druid with a dire bear animal companion. I took a few mounted combat feats, and fought with him by preference. It was SCARY. After that character, no one will convince me that druids are weak. That bear and I did more damage than the 12th level fighter/weaponmaster. From that game on, dwarven bear cavalry will always have a soft spot in my heart.