"Knock" is something of a mixture of all the things people have said :-)
In normal combustion, the spark plug lights the mixture and the flame burns smoothly out from there to the edges of the cylinder. This gives a nice smooth release of heat and increase of pressure.
In "knocking" combustion, the rising temperature and pressure due to the flame causes some of the mixture to ignite spontaneously, BEFORE the flame gets to it. As a result you have a sudden very rapid release of energy, which in turn causes a very rapid increase in temperature and pressure. It is this sudden pressure and temperature rise that can cause damage to pistons, head gaskets, etc.
"Knock" is much more likely to occur when the ignition is more advanced, since this causes higher pressure and temperatures. If you light the mixture late enough then the descending piston causes the pressure to fall at the same time as the flame would tend to cause it to rise, thus lowering peak temperatures. But the efficiency is generally less (less work output per unit of fuel burnt) which is why you need to advance the spark as much as you can without causing knock.
I would have to disagree with Christian's Point A ("Low octane fuel burns more rapidly") - my understanding is that the burn rate is similar with all fuels (at least in the "normal" octane range), it's just that high octane petrol is less likely to spontaneously ignite before the flame arrives.
To get back to the OP's question: you might get better MPG with super unleaded, but the benefit will be tiny. Most of the time you are driving at part throttle, where knock is very unlikely and so the ignition is set optimum with both 95 and 98 RON fuel. You are however likely (though certainly not guaranteed) to get more power with 98 RON.