The Knights Guilds are the protectors of each province. Their influence seldom extends beyond the borders of their provinces. Membership is not de rigueur, but it can be handy at times.
Benefits of Membership:
***There seems to be a lot of confusion about the free armor. The type of armor you receive (mithril, elven, dwarven, etc.) is not dependent upon your rank, but upon how many times you have been promoted. You go one step up with each promotion. So, if you want to get that free daedric armor, you'd better be sure that you get promoted at each opportunity and don't skip any ranks.
There are some Knightly Orders that you cannot join. They are:
Knightly Orders that you can join:
Temple Knights (you may join them, but they count as temples, not knights):
Like temples, you may only join one Knightly Order.
Knightly Order quests tend to involve a bit of dungeon crawling and you dont get paid for it. Youre a goody-goody knight, remember? Knights do good deeds and dont expect anything for them. The Knightly Orders are also your only source (besides Daedra summoning) for quests to artifacts and the quest to slay a Dragonling is the only time you can soul trap a Dragonling that will work in the item-maker. Some of the Knights Guild quests will increase your rep with the general populace and/or nobility. Handy if you're looking to do a little sucking-up.