The Paladin is a great general all purpose knight.
The Warden is similar to a Paladin, but a bit shorter range and a more reliable weapon against fliers. In fact I like the warden better than the paladin in most of my lists. That big gun doesn't scatter so in many ways it is more reliable
imho.
The Errant is good at tearing up the high
av vehicles, and really he is a budget option. If you can afford the Atrapos, there is no reason to take an errant
imho. The Atrapos does a MUCH better job at tearing apart vehicles AND super heavies/gargantuan creatures while being more durable. On the Atrapos ALWAYS take the Occular Augmetics.
The Castigator is an excellent can opener for low
av vehicles and decimates hordes.
The Crusader is good at fire support and filling gaps in what you need to cover. If you take a Crusader your really don't need a Warden, and I find the battle cannon is often more useful than the thermal cannon.
The Acheron is a great horde killer and pairs well with longer range knights like the Crusader, but I prefer the Castigator myself.
The Lancer is what the Gallant wishes it was. The Lancer is good against
TEQ/
MC and decent against
MEQ/light vehicles. Gallants
imho are for when you want another knight and can't afford any of the others. I don't much care for Gallants though I think they look awesome. They are just outclassed by both the Lancer and the Atrapos. Last I heard the Sanctuary relic stacked with the Lancer's shield.
The Magaera is good against
MEQ and okay against Light vehicles/Light infantry/Heavy infantry.
I think a good 3 knight base to build off of would be a Crusader, Atrapos, and a Castigator. You would probably want the Atrapos to be the warlord. And if possible take the Mark of Omnissiah for a second roll to regain
HP.
Lancers, Crusaders, Acherons, and Atraposes (Atraposies?) all make great Warlord choices.
I find the table here useful for deciding what I need
https://www.frontlinegaming.org/2015/05/31/imperial-knights-7e-making-a-knight-primary-army/
That table is quite useful. Even if it is Missing the Atrapos.
Oh, and The Stormspear is almost always the best choice.