Forgotten Knights is an Endgame Faction that tracks your battle against the powerful servants of Orobyss - The Harbingers.
You will start encountering them once you have progressed deep into the Monolith of Fate. If you succeed in hunting them all down, you will eventually be able to face their mysterious leader.
As you complete the quests given by the Forgotten Knight and defeat stronger Harbingers, your rank within the faction raises. Each rank grants different benefits that include better rewards from Nemesis and bonuses that allow you to climb Corruption faster in the Monolith of Fate.