Thank you Gis for the question, and Wolf Knight for a very full answer! There's a few you have in there that I was previously unaware of. I particularly enjoy seeing the matching pieces together, so if a Knight has a caparison, shield, flag and tabard all bearing the same design, we can see the complete set. Tiermann has a complete (we think) set of all knights with caparisonned horses.
Tiermann's site and David's sites each do a great job. I particularly like Tiermann's site as it gives the part number if you want to place an order for a particular shield (just hover your mouse over the shield you want). David's of course is less up-to-date so less complete, but I like his descriptions using correct heraldic terminology. Of course different European countries have developed slightly different heraldic rules, so we should view Geobra's designs with an eye to their German roots.
Some of the best designs only appeared in one set (such as a special or easter egg), and it's a shame they had switched to more "Fisher Price" childish stylings (e.g. the crowned lion head and the red dragon face) just when I got back into collecting. Why they come up with a great simple design (e.g. the black spread eagle on red kite shield) and then drop it immediately is another puzzle I'd like Playmobil to answer. Maybe if we can establish better communication with Geobra through Richard's efforts then we can ask them about their heraldry decisions.
I think Wolf Knight is a "true" collector, since he's tried to get at least one of everything available to him. My collection of shields and heraldry is more limited to what I like, or acquired in sets, and I've not bothered to go back to the old Nuremberg Guards, since it was easier to start with the Knights of the 3666 castle generation Some specials and Easter Egg figures I got multiples of to make a bigger force, but it gets expensive fast...
