The knight is straight-forward to play.
You want to advance to Expert with the long sword. You'll want to dip it into a fountain after you reach experience level 5 until it becomes Excalibur. This will be your best weapon in the game.
Don't advance with the spear, or with a lance if you find one, just because the knight will be good with them. These are not very good weapons. For backup weapons, your best bet is a two-handed sword, advanced to skilled. Next choice would be a battle-axe, advanced to skilled. After that, a dwarvish mattock, advanced to basic would work pretty well. Then the next best weapon is another long sword besides Excalibur.
As for other artifacts, None are up to Excalibur. Snickersnee is weaker than Excalibur and offers no extra features, but it does beat all other possible backup weapons. Greyswandir is farily good, and has the advantage of a lot of extra damage against silver-hating creatures including demons, important in the end-game.
Because long swords are the only thing you'll be advancing to Expert, you arent' likely to run out of slots, so you can advance more than one backup weapon. By experience level 13, you can advance all of the following types to their maximums:
Also note that by experience level eight, you can have the first two (your best choices) advanced to maximum.