Just play with the options and see which one you like best. My favorite is IceWM for its small memory profile, easy configurability, and efforts to allow you to operate without using the mouse -- but each of the Knoppix-featured window managers has advantages and you may discover that you prefer another.

The most important window manager missing from the Knoppix CD is Gnome. (Rationale: It's big, like KDE, and both don't fit on a single Knoppix CD; Klaus prefers KDE.) Among the existing options, it is comparatively closest to KDE -- lots of features, big hard drive and memory footprint. Open Source purists tend to like Gnome over KDE for licensing reasons -- you can get acquainted with the debate by searching Slashdot or the Web in general. The big decision is whether you want an "everything-and-the-kitchen-sink" manager like KDE and Gnome or a leaner manager with alternative features like mouse independence (icewm) or tiny memory footprint (several contend for this).

Play around and make your own decision -- the playing is part of the fun!