Looking for movie about WW I. It is about the Australian Mounted Infantry fighting in the Mideast. It ends with what was probably the last cavalry charge in history into artillery fire.

Possibly this:
http://en.wikipedia.org/wiki/The_Lighthorsemen_(film)

If that is not the movie you're looking for, the wiki page for it actually mentions other, similar movies...

Gallipoli. 1981. With Mel Gibson