This is the Knightly order the Paladin of Diablo II belongs to. It was mentioned in Diablo I that King Leoric in the throes of madness sent many of his own knights to battle the Knights of Westmarch. Khanduras failed to conquer Westmarch and ended up only weakening their own army. The Archbishop Lazarus found the defeat of his own countrymen useful for it eliminated many of his critics as well anyone else who could be the voice of reason for the King.
The Knights of Westmarch are also the descendants of an earlier order of Paladins called the Hand of Zakarum from Kurast. The dissident group within the Hand of Zakarum found fault with the "Hand"s fanaticism and brutality and founded Westmarch as a haven for their brand of Zakarum. The Knights of Westmarch have also turned away from the random destruction of "non believers" to focus their efforts on the Three Prime Evils, Diablo, Mephisto and Baal.