Time Travel for Pedestrians by Ray Nelson. I read it in Again, Dangerous Visions.
The protagonist takes a drug that allows him to visit past lives. The scene with the knight is particularly graphic and has stayed in memory for five decades!
Stop!" I shouted, raising my stick. I had been taught that a well-used quarterstaff could deflect a lance, if you were quick enough with it. "Stop, I say!"
He bent forward slightly in the saddle and gave his horse a little kick with his heels. The ungainly creature broke into a heavy trot. In an instant those great hoofs sounded on the bridge and that sharp bright point of the lance was bearing down on me. I held my staff in both hands, waiting for the exact instant to jerk it up and send the lancepoint harmlessly to one side. Then, a quick thrust between the horse's legs and . . .
I brought up my staff smartly, exactly right, but the man in metal was too strong for me. His lance went into my belly, deep in, and came out again through my back. It was painful, being pierced, but not so bad as I had expected. I didn't faint. I didn't even cry out. I was just ... surprised.
The horseman reined in and backed off, pulling his lance carefully free of me. That's what really hurt! And seeing that point swing up and back, covered with my blood and bits and strings of my guts. It was the thought of it that hurt me, really. The idea of being pierced, stabbed, run through. The idea was what hurt most.
At the beginning of the story the protagonist explains how an angel with a fiery sword blocks the path to self knowledge:
Why do you hang back? Haven't you always thought Socrates was so frightfully wise when he took as his motto, "Know thyself"? Come. Let us enter. "It isn't as easy as all that," you may say. And you're right. There's something blocking your way. Let's put it a little more poetically. There's an angel guarding the entrance, with a flaming sword. He's been there a long time, but he is never tired. Angels don't need to sleep. You'll have to trick him, or drug him, if you want to get past.
I chose to drug him.
Then at the conclusion of the story:
But then I remembered again that according to the Bible it was possible to wrestle with angels, and win! I pretended to lunge forward, and the angel's sword swung downward toward me, but at the last possible split-second I sidestepped and avoided the sword at the same time as I leaned close and grabbed the angel's arm. To his intense amazement, I threw him, with a simple Judo spring-hip throw, then threw myself onto him from the rear, in spite of his wildly thrashing wings. The sword flew harmlessly from his hand and skittered into the dust well out of arm's reach, while I leaned in between his two wings, passed my right arm around his neck and snapped the hand back toward me so that it grasped my left arm just above the elbow. Then I placed the palm of my left hand against the back of the angel's head, pressing forward with it while pulling back with the other.
"Give up?" I demanded.
The angel only struggled all the harder.
I tightened the choke hold.
"What do you say now?" I asked coldly.
There was no answer, only more thrashing and writhing. I squeezed harder, and the struggling grew weaker and finally ceased. I held the choke a little longer, just to make sure, then let go. The angel rolled over in the dust, completely limp.
I listened for his heartbeat, felt for his pulse.
There was nothing. The angel was dead.