My least favorite attack by a million miles is the knights pile. Aside from possession, it's the only pile I would ban. I don't have much of a problem with junkers or militia type attacks because they can usually balance each other out. Starting each turn with 3 cards is fine as long as I can do the same to my opponent, same with dealing out a curse. With knights, if you lose the split in certain situations, you eventually won't have any knights of your own to even the playing field. Of course, you might not have any relevant cards at all if you're on the wrong end of the "knightmare" as I've heard it called. Not only do you have no chance of winning, you can't even really do anything at all. You basically can't even play the game if you know everything between 3-6 is going to get trashed. For me personally the knightmare is the least fun thing in the entire game. In all other games, even if you're getting destroyed, you can still buy stuff and pull off the occasional good turn just for some personal satisfaction and sense of accomplishment.
The other thing about knights- some of them are just so much better than all the others the vast majority of the time. In boards without trashing, Dame Anna can easily decide the whole game. Same with Martin in games without plus buy. On the other hand, knights like Natalie or Vander can just end up futile as whatever you gain from them might get trashed anyway. Imagine if there was exactly one witch in the whole pile that made your opponent discard down to 3 or one random militia that would give you 2 actions. That's what knights feel like for me.
And this is the Knight rant I could have written. Well done.
I agree that Dame Anna is really swingy. Other potentially "important" ones like Molly and Martin get trashed pretty fast, so you can't get much benefit from them usually. However, the trashing you get from Anna immediately makes your deck better for the rest of the game. That's pretty game-deciding.
About Natalie, the whole reason she's good to get is that you can keep getting cheap cards to buffer your deck against the other Knights. Vander definitely feels sad when your Gold immediately gets hit, though.