Horseback.
He loves going riding.
However, while it’s fine for ladies to ride, it’s not fine for them to travel by horseback (too easy to escape the chaperone), so if he’s going anywhere he’s either walking, if it’s going into town, or the coach if they’re going anywhere else.
At least the coach is comfortable.
He would like to travel in a zeppelin, but they’re used pretty much exclusively by the military, so he’s not had the opportunity yet.
Though as Connor works on one….