Hexwraiths are more durable baseline (4+) and ignore rend bonuses when attacked, have 2 attacks at a 3+ to wound all the time, with -1 rend. They also have that cool move-through attack, and they fly. They don't have any command except a champion, however.
Black Knights have a 5+ save, 4+ against rend -, and have one attack each at +4 to wound, +3 on the turn they charge. They are generally worse overall by stats - but with a standard bearer they get d3 models (2 wound models!) every hero phase, and their musician guarantees a charge of at least 6 inches. This helps keep them around when they are fighting, and get them into combat.
Both can look very cool on the table - I'm partial to a ghosty blue fire color scheme for the Hexwraiths, and a patina'd bronze armor scheme for the Black Knights.
I'd probably use both, one for pure hitting power (Hexwraiths) and another for a larger, more durable unit that grows back as the game goes on (the knights).
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