Actually, with 'knoppix-installer' you get two choices: 'Debian Style' and 'Knoppix Style' -- Debian style being the hard disk install and Knoppix style being an installation that runs like the live-CD.

I have never tried knx-hdinstall but have used knoppix-installer around seven times now. It is by far (to me, at least) the easiest and most reliable Linux installation I have ever experienced