Sans Peur et sans Reproche;
Chris loves the knights. She's dedicated her entire existance to serving her country, but her true loyalty lies with the knighthood. And the knights love her back, in different ways and to various degrees. They would all lay gladly lay down their lives for her.
Chris became a knight to follow in her father's footsteps. In the manga, it shows her struggles as the only girl in her military academy, despised and abused. She poured all of herself into learning how to fight, and when the time came, she was placed in the upper divisions of the Zexen Knights. They were kind to her, and accepted her as who she was. Chris calls Brass Castle home, rather than her manor in Vinay del Zexay. The comraderie the Six Mighty Knights share is obvious. When captain Galahad dies in battle, they all pause to swear their swords to the new captain.
On a personal level, the nature of the knights' relationship depends on the knight in question.. Borus is more than a little in love with Chris. He is quite protective of her, and becomes jealous when other men are around her. I find it rather cute.
Borus and Percival aren't invited to the party.
Percival might have similar feelings for Chris, but he's much smoother. While Borus is all devotion, courage, and rage, Percival is composed, perceptive, and a bit sly. He brings her to visit his hometown of Iskay, something that seems to embarrass him a litte. His motives for taking her are somewhere between getting it on and letting her have a real moment of peace.
Romantically, it's difficult to imagine Chris paired with any of the knights, simply because it would throw off the bond of military comraderie they already share. If Percival to make it with Chris, Borus would be hurt. And love triangles involving best friends and RPGs can end in mind-control, betrayal, and trips to the moon. In light of this problem, many fans have decided to avoid the Chris factor altogether and just have Borus and Percival engage in sweaty mansex. Eeeh...
Moving on, Salome is Chris's strategist and second-in-command. Salome is an obvious mentor figure: he is wise, intelligent, and knows Chris better than she knows herself. He is the first knight to swear fealty to Chris. Salome is also quite the tricky individual, and he is fiendishly clever. There are layers to just about everything he does. But he cares for Chris something genuine-- while the other knights can coddle Chris and overwhelm her at times, Salome seems to really want her to shine on her own.
Beyond the individual relationships the Zexen Knights share, there is that special, wordless bond shared between people fighting for the same cause. That's really the most attractive feature of the knights and of Suikoden III as a whole. Geddoe's company has it too, and so do Hugo and Sgt. Joe. Even Luc and Sarah. The laughter, friendship, and love, in the face of death. There's something to be said for knowing who you'd want to die fighting next to.
There's a charming scene at the end of the game, when Chris and her company go to take back the True Water Rune from Sarah. Borus, anguished by the incidents at Karaya village and goaded by a rather mean Percival, tells Chris that she may expell him at the end of this fight, but that he wants to be by her side now. After hearing Chris's response, he swears an oath of loyalty to her, and all the knights follow suit. What she says to him is this:
"Borus, I don't know as much about the Six Mighty Knights as you do. You honor me by fighting by my side. If you have any shortcomings as a knight, I should be blamed. My sword has taken many lives. I have spilled the blood of too many men. Nevertheless, we are knights. Because we know what it is to take a life in battle, we know the value of human lives even more. We must use our swords to protect others' lives, not just take them. Look at me, Borus. Join me in the fight."
I think that scene sums everything up.