First time i played it, was with dwarf. Lorewise, i love dwarves. Friendly and hospitable little fellas, love food, ale, home, chopping goblin heads with battleaxes and stomping orcs flat with warhammers. Plus, his green clothing and horns on helm (medium armor) reminded me of the dwarf from Golden Axe!
Then the knight. The knight is my favourite up to date. Full plate mail, lots of combos (more than all other players), easy to handle weapons, easy special moves without complicated parts, best character for using shields, quick drinker of potions, decent reflexes (climbing etc), decent jumping distance, good dexterity. Plus the ending suits him perfectly; left everything he carried (artifacts, weapons, armor) at iana's temple and simply left. The amazon would empty the temple off of its valuables, the dwarf would carry all his hard-earned stuff home, and the barbarian would simply turn the temple into home. Yes, all of them leave everything there and go on their way, but this type of sacrifice fits only with the knight and his ethos, i like to think. Plus as dal gurak said, upon defeat; "iana annointed you paladin". Only a knight can become a paladin, lorewise, or with contrast to other games and their lore.