The ability to make a knights-move at any time you could walk normally is a huge bonus. You can run like heck if you need to, which is great.
Don't overuse it though. Jumping makes you hungry much faster.
Knights are also burdened with a strict code of conduct - stealing, hitting neutral, sleeping or fleeing monsters, eating to satiated, etc. will give you negative alignment. Which means you can't pray for help and with a less-than-perfect alignment you will be rejected by your class quest giver.
@ Legolord:
How are you doing it?
The fast method is writing in dust with your fingers (E, then -). You have a 75% chance of success writing E-word in one round, unless you are stricken with status effects like fumbling, blind, confused, hallucinating, etc., which then you can forget about it. Writings in dust also erodes very quickly, and even faster if you try to melee attack on it. Ranged attack or waiting (no one can stand perfectly still) have a weaker effect on the dust. If you can levitate over it, it will last forever.
Don't try to dust multiple E-words in a single round. Most other actions will be interrupted if you're attacked, but not engraving. Your characters will keep engraving until finished, even if they die in the process (it's a game balance mechanism I think). So when dusting, only do one E-word at a time, and do it again and again for several rounds to guard against erosion.
The fast but expensive method is to use a wand (E, then wand's index). You will need sufficient charge in the wand (1 for a E-word in vanilla NetHack). Wand of Fire or Lightning will engrave a permanent E-word, but lightning will also blind you as a side effect. Wand of digging will leave a semi-permanent engraving. Other wands will have various effects, and some wands will be used to write in dust.
The side effect is that you can identify majority of the wands by engraving with them... so experiment with the non-cursed ones!
The slow method is with other items (hard gems or sharp weapons). These make semi-permanent (erode slower than dusting) engravings like a wand of digging, but takes a lot more time - one character in a turn. Also weapons lose 1 enchantment bonus per character written, eventually going into negatives. At -3 (IIRC) the weapon will be too dull to engrave anything else.