The Knights are led by a man who is approximately 12 foot tall (Michael Palin standing on John Cleese), has disproportionately short arms and has tree branches inserted into his helmet. The other knights are more normal sized and never really speak, only repeating words and phrases which the head knight has spoken.
"Ni" is only the most notable of the sacred words which they are assigned to protect, the others include "Ni-pang" and "Niiii-wom," all of which are infamous for the horror and fear they bring about.
They demanded that King Arthur buy them a shrubbery in order to pass through the woods. Later, they become the Knights of an unspellable string of characters. The unspellable saying could be spelled this way:
Then they demanded that King Arthur get them another shrubbery, arrange the two shrubberies so that they get a two-level effect, and cut down the tallest tree in the forest using a herring.
The Knights who say "Ni" have a weakness, in that a number of words, when spoken to them, cause them pain and agony. The only one of these words that is revealed in the film is the word "it."
A transcript of the scene and recording of the word is available here and another recording is available here.
NOTE: There was a further scene that was scripted, but either cut or never filmed. In it, the Knights recover from having "it" said, and when they hear someone else coming, they decide that they'll demand another shrubbery, this time calling themselves the "Knights of Nicky-Nicky".