I normally shoot aperture priority since I like to control the DOF, but the setting should depend on your distance to the action. I usually shoot f/4 to f/5.6, but when close to the action (or with a larger telephoto lens), I have shoot at higher aperture settings and still managed to get a decent background blur. Even at f/5.6, I've had the back of the horse out of focus because the DOF was too shallow because of my distance to the action.
Here are a few sample shots of my granddaughter on her horse (mostly taken during practice) with different aperture settings to give you an idea.
Canon 30D, Canon 100-400 - 1/640s f/5.6 at 235.0mm iso200
30D, Canon 200 f/2.8L - 1/2000s f/4.0 at 200.0mm iso200
30D, Canon 200 f/2.8L - 1/800s f/7.1 at 200.0mm iso400 (even at 7.1, the background is blurred)
I took this one today (trying out my new 7D)
7D, Canon 200 f/2.8L - 1/1000s f/5.6 at 200.0mm iso200
Canon 7D, 5D, 35L, 50 f/1.4, 85 f/1.8, 135L, 200L, 10-22, 17-55, 70-300, 100-400L, 500D, 580EX(2).
Sigma 150 macro, 1.4X, 2X, Quantaray 2X, Kenko closeup tubes, Yongnuo YN685(3), Yongnuo YN-622C-TX. Lots of studio stuff.
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