It's probably a fools' errand to apply real-life strategies to Game of Thrones, but forging on nonetheless, I would imagine they'd land anywhere but Blackwater Bay. The Dothraki horsemen used to semi-arid wasteland would love the rich grasslands of central Westeros, and they could recruit and build siege weapons to their heart's desire. That amount of self-sufficient horsemen could annihilate almost any force sent against them in record time, especially if they were reinforced with Unsullied and - dear Lord - dragons.
Which brings to mind another tactical advantage: Castles are not built to defend against aerial threats.
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