Trusty Steed is a perfectly nice card, and there are edge cases where it's really nice, but rarely do I build a strategy around it.
An example of where it's very important could be a game with, say, Hunting Party, Goons, and Chapel, but no +actions. The Hunting Parties likely let you draw the Steed every turn. Steed gives you the incredibly strong ability to double up on your Goons, or both trash and play Goons in the same turn.
Steed doesn't do many things brilliantly; he's just a great card that you can get for free.
In contrast, the other cards are far more board-dependent. Followers is the strongest, but not if there are other curse givers. Sometimes even having another strong handsize reducer plus trashing is enough to make it useless. In a game with Village, Wharf, Ghost Ship, and Chapel, Followers is weak.
Princess is dependent on how action-heavy you are and how many cards you want to buy per turn.
Bag of Gold is terrifying when paired with, say, Salvager or Apprentice, and it holds up pretty well in action-based decks with strong drawing and +buy. It's bad when you're trying to build a lean attacking machine deck. (For example, if you already have Followers, and want to play it as much as possible, the golds can actually be nearly a net negative.)
Diadem only becomes a monster in a few sorts of games (typically games with King's Court and nonterminals) but it's often great in a +actions/+cards engine. If you don't have +actions, avoid it entirely, but if you do, it is at very least a "why the hell not?" card most of the time.