Ni! (pronounced "Nee!") is correct, but not for the entire movie. It changed later on, to the knights who say "Ecky-ecky-ecky-ecky-P'tang, Zzoo-Boing, gdgdbaaoizen" (the rest of the knights, aside from their leader, do continue to say "Ni", however).
Arthur then calls them "The Knights Who 'Til Recently Said Ni".
Ahem, sorry. I guess that doesn't *really* matter...