By now the leaked White Dwarf pictures have been going viral around the internet: the new Imperial Knights look to be an amazing model, standing a good shoulder taller than a trygon, with several options. I'm impressed with the model at first sight and the paint jobs that the White Dwarf team appear to have presented.
The Knight Errant is 5 points cheap than the Knight Paladin and features a thermal cannon (one big melta beasties), a D class chainsword and heavy stubber. With AV similar to an Imperial tank and 6 hull points, this guys will be a beast. BUT: he is not completely immune. A good volley from a fire dragon unit for example (which is curiously pictured in the leaks that I'm sure you can find) will readily take out an expensive Lord of War analogue investment it seems.
On the other hand, the Knight Paladin replaces the thermal cannon with a rapid fire battle cannon (2 ordnance large shots at lower S but longer range). On the scale of things, unless Apocalypse is being played, I think the Knight Errant is going to see a lot of use versus the Knight Paladin.
That said, the points price tag is a large dint in any modern army. I can certainly see that it would get good usage in low model armies (I'm looking at you Death Wing, and adepts of Titan!), but could also be cheesed up by drop pod armies. Have this guy at your back line and drop the other half of your army right in the enemies face to prevent some firing.
The most interesting thing for me is the wording of how they can be fielded. It simply says in an allied detachment. Chaos Space Marine armies supported by Dark Mechanicum versions of these beast with a couple of hellturkeys would be most entertaining if permitted.