I've only really played much with the Orange Knight, primarily because of his fire element & his starting weapon.
I first chose the Red Knight, because I preferred the look of him, but I couldn't really get my head around how to use his magic attack (I didn't work out you had to hold the button down).
Then I chose the Orange Knight because his element seemed the most effective & I loved the look of his battleaxe.
I've only really played it enough to main one character, but I think my next character will either be the Red Knight of one of the unlockable characters.