Trickstar
The Trickstar Knightmare engine consists of Trickstar Light Stage, Trickstar Candina, and Trickstar Corobane. You either Normal Summon Candina or activate Light Stage, search the other, then search and Special Summon Corobane.
Pros
This is one of the more popular options for a Knightmare engine in the OCG at the moment, and it has a fair number of advantages to explain that. For one, Light Stage has the additional effect to destroy or force an opponent's Spell or Trap card if you're going second. This is huge when a large amount of the deck's competition includes Salamangreat Roar and Sky Striker... everything. The fact that two parts of the engine search each other reduces the chance of "garnets".
The engine is also quite flexible. You can run 3 of each starter, maybe intending to draw multiples for deck thinning and baiting Ash Blossom & Joyous Spring. Or, you can keep it slim like the example decklist linked above, leaving room for other engines and staples. You can even include Terraforming, searching either Light Stage or Orcustrated Babel. In a pinch, you can use Corobane's effect in hand to beat over something with Candina. Finally, it's also fairly affordable. Trickstar has been meta in the past, and this means lots of their cards are out there in people's binders. Between various reprints and the deck not being meta anymore, the actual prices are quite reasonable.
Cons
Like many, if not all other options, Trickstar Candina does take up the Normal Summon. It can also be susceptible to hand traps like Ash Blossom or Effect Veiler. While this is true of Knightmare Mermaid itself, having even more choke points isn't great. As mentioned in the Pros, baiting a hand trap can be an outright good thing. If you have another engine, or extra copies of cards, you can just continue on. However, if you've used up your Normal Summon already, it can be a bit more difficult.
Sky Striker
The Sky Striker Knightmare engine consists of Sky Striker Mobilize - Engage!, Sky Striker Mecha - Hornet Drones, and Sky Striker Ace - Kagari. You search Hornet Drones with Engage, use the Sky Striker Ace Token to summon Kagari, who adds Drones back, then activate Drones again, using Kagari and the Token for a Knightmare.
Pros
Hornet Drones is quite efficient, as the one card is all you need to get going. There aren't any "garnets" in the deck to worry about. Another benefit is that Engage introduces some options for flexibility. For example, if you know you're going second in game 2, you can side in Sky Striker Maneuver - Afterburners!. Then if you have another play in hand, you can use the spare Engage to search Afterburners and clear the field a little. Going first, you can use Sky Striker Mecha - Eagle Booster to protect Knightmare Mermaid from hand traps. Engage can also bait an Ash Blossom without using your Normal Summon, leaving you free to use another engine uninterrupted.
Cons
Sky Striker cards are, unfortunately, quite expensive indeed. Engage does have a reprint coming up, but not before a couple of important events, so its price remains high for now. Using this engine also means dedicating an Extra Deck slot to Kagari, when things are already a little tight. Finally, if you don't have any backup targets, using Drones leaves you with two Engages in your deck that can waste a Draw Phase. You can't leave out Engage, either, since Drones is Limited.
Knightmare Corruptor Iblee
Knightmare Corruptor Iblee doesn't have to be a Knightmare engine, because she is a Knightmare. Simply Normal Summon her and use her to make Knightmare Mermaid.
Pros
Like Hornet Drones, Iblee is completely self-sufficient. Even moreso, because she doesn't increase Extra Deck investment. There's no risk of garnets, no vulnerability to hand traps, and no unfortunate side-effects. She also has some extra utility besides starting the combo. Because she has an effect when used as Link Material, you can "chain block". By the rules of SEGOC, you can place Iblee at Chain Link 2, after Mermaid, and your opponent can't use Ash Blossom. From there, she can block some of your opponent's Special Summons. Alternatively, if you think she'll help them more than hinder, you can just destroy her later in the combo with The Phantom Knights of Rusty Bardiche!
Later in the game, she can also revive an already-spent Knightmare to use as Link Material for Knightmare Unicorn or something bigger. She's even searchable, if you really want, thanks to Cynet Mining. As the final nerdy cherry on this sundae, it's even lore-appropriate, with Orcust Knightmare being a combination of Galatea, the Orcust Automaton and Iblee.
Cons
There's one downside in particular to Iblee, which can be a total dealbreaker for a budget player. She's really, really expensive. Flames of Destruction didn't sell super well, since it didn't have a lot of good cards. As a result, its few standouts like Infinite Impermanence became hard to find. Iblee is one of those cards, and Knightmare decks only needed one copy, so vendors could justify higher prices. Now we need a whole playset, and the hype for Orcust hasn't made her price any better.
Formud Skipper
Formud Skipper is basically the budget equivalent to Iblee. By revealing a Link-2 Knightmare in the Extra Deck, it can take the name and be Link Material for Mermaid.
Pros
Like Iblee, Formud Skipper is entirely self-sufficient, starting the combo with one card, depending on nothing else in the Deck. It's also vastly cheaper, coming from the Soulburner Structure Deck. That deck has flown off shelves due to the popularity of Salamangreat and the affordable Ash Blossom reprint. This might make it hard to find a copy yourself, but almost every Salamangreat player should have a spare playset.
Cons
I did call Formud Skipper the budget version of Iblee, and you get what you pay for. It does the same basic thing, but has almost none of the extra bonuses. It can't "chain block" unless you have a high-level Cyberse monster. A few alright targets exist, like Cyberse White Hat and Linkslayer, but they're not ideal. As for Iblee's other effect, for use later in the Duel, Formud doesn't have anything comparable at all.
Atlantean
The Atlantean Knightmare engine consists of Neptabyss, the Atlantean Prince, Atlantean Dragoons, and Lappis Dragon. Neptabyss sends Dragoons to search Dragoons, and the sent Dragoons searches Lappis Dragon. Lappis will Special Summon itself, and you use it and Neptabyss to make a Knightmare.
Pros
Neptabyss is the best hand trap bait in this entire article. Even though it (usually) uses the Normal Summon, the entire engine still goes off if his effect is negated. He can attract hand traps that even Iblee can't deal with like Effect Veiler. If he does resolve, you have the free advantage recouping the cost of Knightmare Mermaid's discard. This is a perk unique to this particular engine. In other situations, the Dragoons can search flexible options like Danger! Ogopogo! or even Moulinglacia the Elemental Lord. Neptabyss is pretty accessible, being searchable by One For One or Deep Sea Diva. Finally, Lappis Dragon is a Tuner. Now, this article is mostly from a TCG perspective, but if by some cursed miracle Crystron Needlefiber does become legal any time soon, that means it's an option this engine opens up.
Cons
This is the first engine we've discussed which has a real chance to fail because of "garnets". If you draw Atlantean Dragoons or Lappis Dragon, the engine can just be completely wasted. The only way to prevent this is playing 3 copies of Dragoons and sometimes multiple Lappis or Danger! Ogopogo!. Unfortunately, this can kind of clutter the Deck and introduce a lot of "dead draws".
Neos
The Neos engine (yes, really) consists of Neo Space Connector and Neo-Spacian Aqua Dolphin. Connector summons Dolphin from the deck, Dolphin can use its effect if you want, and that's your Knightmare materials.
Pros
The main thing unique to this engine is the effect of Aqua Dolphin, now well-known from Isolde decks. If your opponent doesn't use a hand trap on Connector, Aqua Dolphin can rip it out of your opponent's hand. Also, the engine should be pretty cheap and easy to find. Connector is a Common, and Aqua Dolphin was recently reprinted for this exact reason.
Cons
Without the ability to "chain block" for Connector, the ability to remove hand traps usually won't come up. Experienced players will just use them on the Connector you used your Normal Summon on. That said, completely guaranteed bait can be useful. Also, you have to play a Neos card, and that's just shameful.
Phantom Skyblaster
Phantom Skyblaster isn't so much a Knightmare engine, rather it makes a Knightmare all on its own. Just summon it, and its effect gets you a Token. There are your Knightmare materials.
Pros
This is another option that doesn't rely on cards in the deck at all, being completely self-sufficient. It's also a fantastic card to draw later in the game. Its effect can give you tons of Tokens for massive Link plays. Finally, it can't be stopped by Ash Blossom & Joyous Spring.
Cons
Despite its immunity to Ash Blossom, Skyblaster is poor at playing through other hand traps. Effect Veiler or even Ghost Ogre & Snow Rabbit stop it in its tracks. Now it's taken up the Normal Summon and you're left with almost nothing. Also, for what it's worth, some people think Skyblaster might be at risk of being on the banlist soon, as it's the next best Token generator after Scapegoat.
Scrap Recycler
Scrap Recycler, as well as similar cards like Mathematician, can serve as a Knightmare engine by sending Jet Synchron to the graveyard. From there, Jet Synchron revives itself, and that with Recycler makes the Knightmare.
Pros
Scrap Recycler is another versatile "topdeck" later in the game, being able to send any Orcust (including honorary Orcust, World Wand) from your Deck to the graveyard. Jet Synchron is also another Tuner, again opening up the hypothetical future potential for Needlefiber.
Cons
Recycler is a pretty old card without any reprints. Finding a copy might be difficult, especially if it gets hyped. It's also another engine that's really vulnerable to hand traps. It takes the Normal Summon and isn't great as bait. Jet Synchron can also be brick in the hand, unless you run Linkuriboh.
Armageddon Knight
Armageddon Knight, and/or Dark Grepher if you're desperate, are similar to Scrap Recycler, but the monster sent to the graveyard is usually Destrudo the Lost Dragon's Frisson. Destrudo can revive itself, making a Knightmare.
Pros
Armageddon Knight has similar late-game versatility to Scrap Recycler, for a lot of the same reasons. As an added bonus, Destrudo can be used from the hand. This means drawing into it isn't the end of the world, as it turns any Normal Summon into functional hand trap bait. It also opens up not only Needlefiber plays, but a card that actually does exist, Yazi, Evil of the Yang Zing. Going second, this destroys a card and itself to summon Mare Mare, making a bunch of Tokens and eventually Borrelsword Dragon. Also, pretty much every Structure Deck with a DARK monster in it has reprinted these cards. They should be dirt cheap and easy to find copies of.
Cons
Both Armageddon Knight and Dark Grepher are currently Limited, and that's not likely to change any time soon. That puts somewhat of a damper on using them as starters, and you're just as likely to draw Destrudo first. Now, Destrudo alone is pretty useful in the hand. However, it's a different use that kind of overshadows being milled by a Limited card. Also, thanks to the TCG End of Match procedures, a 4000 LP cost is more relevant than we'd like.
Assault Mode
The Assault Mode engine actually debuts in Dark Neostorm alongside the new Orcust cards. It consists of Psi-Reflector, Assault Beast, and Assault Mode Activate. Reflector's effect on summon searches Beast, which discards itself for Activate. Reflector's second effect reveals Activate to revive Beast, and there's your Knightmare.
Pros
A major advantage the Assault Mode engine has is flexibility. Besides working as a Knightmare engine, it has a bevy of other options it can make. For one, this is another hypothetical Needlefiber engine. You can also make Synchro monsters of various levels, most notably Borreload Savage Dragon. If you're feeling really spicy, you can even use it as intended for Stardust Dragon/Assault Mode! In more practical points, being a Level 1 Psychic makes Psi-Reflector very searchable. It's also very likely to be affordable. Early Dark Neostorm spoilers point to Psi-Reflector being Rare, and the rest of the engine is Common in the upcoming OTS pack.
Cons
The Assault Mode engine has no particular advantages in terms of stability. Both of the usual issues are present, where other engines often only have one. Assault Mode Activate is a "Garnet" that prevents you from reviving Beast. Reflector also often takes the Normal Summon and is vulnerable to most hand traps.
Danger!
Danger! isn't so much as engine as it is an entire build of Orcust, that's been popularised in the TCG even before Dark Neostorm for other win conditions like Outer Entity Azathot. In the context of a Knightmare engine, you simply Special Summon two Danger! monsters, like Danger!? Jackalope? by their own effects.
Pros
Danger!s are arguably some of the best cards in the entire game. They create free board presence. They give you free draws. The good ones don't care if they get discarded. They're kind of ridiculous. They can't even be stopped by Ash Blossom or Effect Veiler. Like Destrudo, they can turn your opponent's hand trap from a game-ender to easy bait. Speaking of Destrudo, they work really well with it. Discarding it changes nothing, and they provide the board presence for it to do Yazi combos without using the Normal Summon. Besides discarding Destrudo, they can also get spare Orcust cards from your hand into the graveyard. They even get their effects when discarded for Knightmares! Some Danger!s, like Mothman! and Dogman! are even pretty affordable.
Cons
Notice how I referred to "the good Danger!s", and when I said "some Danger!s are cheap", that was entirely separate. The good Danger!s, like Nessie! and Jackalope? are anything but cheap, being incredibly expensive, especially since you want a full playset. Unlike some expensive cards like Engage and Borrelsword, it doesn't even seem likely that they have reprints upcoming outside of the Mega Tins.
Conclusion
I have a lot of passion for the Orcust deck, and a lot of experience playing it casually. However, that doesn't make me an expert and I don't want to act like the be-all and end-all of advice on which Knightmare engines you should play. The answer won't even be the same for everybody, because of the high cost of some of the "best" options. Still, I'll try and roughly sum up which of these engines deserve the most attention.
In the OCG, the most popular Knightmare engines seem to be Trickstar, Sky Striker, and Armageddon Knight. However, the TCG can be quite a different game. Trickstar's go-second backrow destruction isn't as useful if you're facing a Thunder Dragon or Pendulum monster-based lockout combo. Armageddon's main advantage is Needlefiber, which doesn't exist. On the other hand, Danger!s don't exist in the OCG to be compared to the other options. They've worked so far, so it's reasonable to expect that they'll still be very strong moving into the next generation of Orcust builds. Personally, at locals I plan to use Trickstar and Scrap Recycler, and I'm looking into Atlantean. But that's more because it's interesting than because it's optimal. I can't afford the key cards for a lot of the better engines.
Whatever factors into your personal choice of Knightmare engine, though, hopefully these short summaries are useful in making a decision. Regardless of your choice, Orcust is a powerful and - finally, after two iterations of Really Boring Card Turbo - interesting deck, and I hope you find success and enjoyment if you decide to play it.