Kierkegaard's "Knight of Faith" is Nietzsche's Ubermensch but he believes in God. It's a person unconstrained by the cultural moral structure, who defines his morality and assertion of will on his own, and is able to pursue his course without needing validation from a power or authority structure like government, church, peers, etc.
In spite of all the pop shots that we like to take at Kierkegaard for being a Christian and pretty damn crazy in his own right, the idea is not someone who kills for the Lord. It's someone who is, in theory, unrestrained by structures and expresses true individualism, which means he expresses true faith because his faith is entirely a product of himself. It is not produced by adherence to creed, dogma, or organization.
If you're looking into Kierkegaard, there's something you need to understand about him: the man had good ideas and totally never lived up to any of them. Kierkegaard as a human was a severely flawed individual with a ton of problems and I've little idea how many of them he honestly owned up to and how many he just did not care about. Despite that, Kierkegaard was also ahead of Nietzsche in terms of considering the role of the individual and the expression of will. The two read like Left Brain/Right Brain counterparts. His work is undeniably unique and, along with Nietzsche and Sartre, is still highly important, especially in Christian philosophy circles. He's basically the more complicated C.S. Lewis without all the monarchy love.
I'd suggest giving his stuff a read (Fear and Trembling, Either/Or, and Philosophical Fragments are, I think, his most influential works), because, as a Christian thinker, Kierkegaard was quite a new voice and brought new thoughts to field, but as you've already discovered, he's also pretty confusing and nowhere near as succint as Lewis or Pierre Teilhard de Chardin. So, having Cliffnotes on the side and checking out some of his influences would be a big help.