It does depend a lot on the in fiction reason you're giving the player lives in the first place and how you're representing lives to the player. You could do the Diablo standby and have the number of lives in a red jar (which could also represent health if need be), the player could pick up extra jars to increase the number (and red orbs or drops of liquid for health).

A "life" should be the risk the player takes, Diablo used red to indicate blood, since the player was either spilling or having their blood spilled. Coins are often used to indicate wealth. Since you have a knight you could explore something more obscure like honor and use crowns or castles to represent the realm the knight protects.

So long as there is consistency between your HUD (and how you represent life there, with a quantity "X" or something similar) and how you depict it in-game, anything can make sense. As people die they will correlate this information.

Mario had mushrooms, which were definitely not in-line with the theme, and this is an almost universally recognized symbol of life (green shrooms).

General pointers:

- If you have a life bar, or any color code attached to your life system in any way, be sure to use that color as your primary for whatever icon you end up with.

- If there is any thing that serves the role of a health "pick-up", be sure to make it drastically different, or much bigger at least (possibly use different colors, red and green are the norm but sometimes blue works too).

Given your theme, a few suggestions:

- Cross (assuming you're playing the good guy)

- Skull (assuming you're playing the bad guy)

- Sparkles: The reasoning is that you have a knight in shining armor, and you use sparkles to make it "shine" (brands the game around the idea that your character can only operate when he shines, and that his deaths are not deaths, but merely sparkles wearing off: what good hero in his own right would be worth the name if his armor doesn't shine???).

Depends on what tone you'd like for your game to have though.