This is written with me having gone Old Faith and Rightful. This will affect some of what's below and may mean that it may be partially or wholly irrelevant in places if you choose other Morality.
Your first knight, and the one I tend to think of as the king, even though he is not actually King Arthur :P
Kay is a Warlord, which means his class skills are good for raising finances to help with raising armies. He also has the skill Wisdom in his general skills which increases the amount of xp gained by everyone in any army he leads.
I raise his Wisdom skill to max before all other skills. By doing that you can plant him and all the heroes and some units in a town which has the +10% xp bonus, add his +20% Wisdom xp bonus, and just while away a few turns leveling up your heroes and army. The heroes at least seem to get a level every couple of years.
Armies definitely don't level if they are stuck in a town without a general, but they do raise the Loyalty of the province they are in so early on I recruit a few Footmen and drop one off in each of my provinces.
The writer of the Knights page points out that putting points in Leadership and Reign yields very little gain. I partially agree with this but I'd still suggest having a minimum of 3 Reign on any knight that may be a Liege with provinces simply because that is easy enough to do and should yield enough gold and food to cover the costs of three cheaper units.
At the end of the day its six and half a dozen whether you want to spend precious skill points on your Warlords' financial skills or precious ability points on Reign. I do agree that spending points on Leadership is probably not worth it, though I did notice high Leadership affecting a quest outcome once.
Spells (important tip)Edit
Sometimes you find you have more spells available than the four that you can cast. You can change your castable spells by dragging the desired spell's icon from the learned skills panel to the icon of the spell that you want to replace below the knight's class symbol.
A wonderful spell available to players of Old Faith & Rightful Morality. I make sure all my heroes have this because it is an effective way of eliminating enemy archers and/or slowing down threating units that you don't want to enter the battle at the same time as the rest of the enemy army.
Possibly a Sage only spell, this one is well worth putting 4 skill points into. You end up with a spell that has a chance to eliminate 40% of the targeted enemy unit, which only costs 55 mana and which has a negligible cooldown of 15 seconds.
Effectively, you get to nuke four, usually heavily armoured units in the space of 60 seconds, substantially lowering the enemy armies threat.
There are various points in the game where you can simply pass time leaving your heroes and soldiers in a town to gain xp. So far I have not noticed this meaning that my soldiers end up comparatively weaker than the enemy soldiers as the result of not getting combat xp, though I have only been checking the overall strength of the army rather than individual units.
Gloucester is ideal for this. Take Powys and the stronghold first then clear out all the armies in Gloucester. Make sure that you do not capture all the towns in Gloucester. Avon Castle is a good one to leave till last.
All the enemy heroes will end up in prison and Gloucester will be empty of enemy knights.
Come the following spring, King Cadern will probably want to pay a ransom for a knight, some may also escape and some may die. Accept every ransom, some of these will be nice artifacts or ladies in waiting.
Gloucester will then have an enemy knight or two wondering around with only their personal guard. Allow them to get to a town to recruit and then attack them either immediately after they start recruiting, for an easy Auto Battle victory with better xp than just attacking the knights and their guards, or after they finish recruiting, for a harder battle but more xp. Each battle you win will also give you a chance of a new artifact from each defeated knight.
You may also be able to use this technique against King Idris in Act I.