Charlie,
The decision to use pellets or loose powder is a matter of personal choice............personally I use loose powder in my Knight for 2 reasons:
1) I get better accuracy with loose powder
2) Loose powder gives me many more options on powder charge. I.E. - I can change my load in 5gr or less increments while the best pellets can do is give you 10gr increments (in the case of Pyro pellets - the new 777 pellets give no choice.....basically you have a 50 or 100gr load, period).
Speaking of 777 powder - that is what I am using now (loose powder that is). It' s much cleaner than Pyro or Black Powder and more powerful too. You must reduce your loads by 15 to 20% when using 777. In other words, a 100gr Pyro load must be knocked down to 80 or 85gr of 777powder in order to get the same results on the target. And about 100gr of 777 is all you will ever want to shoot - that is if you would like to keep your shoulder out of the hospital

.
As far as the other substitute powders on the market - they are probably best avoided. The ClearShot powder mage by Goex is worthless IMHO - it is just as dirty as regular Goex black powder and is VERY weak, about 15 to 20% down on power compared to black or Pyro. Now CleanShot powder (or American Pioneer Powder as it is called now) isn' t too bad. It IS very clean burning and is only about 5% weaker than black or Pyro. However it tends to pick up moisture out of the air and goes bad very quickly - not something you want to use in a humid climate. And the pellets CleanShot makes are to be avoided. They tend to be VERY inconsistent - even my black powder revolver won' t shoot them decently out to 10yds.
I hope this helps you in your decisions. If you decide to go with 777 powder, check my posting on 777 range lessons down below - that will give you an idea of loads to start with.
Good Luck