I personally use the "knx-hdinstall", even though some people encourage the use of "knoppix-installer". knx-hdinstall is a better installer, it doesn't ask you questions like "user password" "your real name" etc, and lets you partition your drive hte way you want and select which services you want to run after bootup.

As far as the differences, I have no idea, it sounds like a knoppix-type-install might be just like running of the CD, but I find that hard to believe.