Most of my elven figures are originally from the Games Workshop LOTR skirmish game.  Called "Middle Earth Strategy Battle Game", I believe.  There are many other manufacturers who produce good Elves. Figures made for the other Games Workshop system, Warhammer, is entirely too florid, too exaggerated and cartoonish, with outsize weapons and expressions and much too large, to be appropriate for Tolkien's Middle Earth.

The GW/MESBG Elves are very good.  The armored figures from the Third Age, or the very similar armored figures of the Last Alliance of Elves and Men, are excellent for representing the more heavily armored Elven troops.  The unarmored Elves are perfect for Sylvan Elves, whether Archers or Light Spear.  The easiest way to produce good Elven cavalry is to do some surgery on a GW/MESBG Rider of Rohan, chopping the top of the body off on the rider and replacing it with an Elven archer or spearman.  This sounds difficult, but modding figures with plastics is quite forgiving -- making the cuts with an exacto knife is fairly easy, and simple crazy glue (cyanoacrylate) glues the plastic back together very easily and securely.