The connection is the same that Wargames Atlantic uses for all its historical stuff - a flat connection high up on the neck near/at the base of the skull. So, pretty much any of WA's historical stuff is compatible with these figures!
Just one example of compatible heads would be the pickelhaube-style gas-mask heads from the Death Fields accessory sprues - these would be an odd choice even for a fantasy or Death Fields conversion for these figures, but when you consider that any of the Dark Ages (Goths), Renaissance (Conquistador!), world war figures (French Resistance bare heads and any of the military helms), Imperial Conquest (Boxers and Afghans), [Correction: the Accessory Sprue heads are actually ball-and-socket fit like the Cannon Fodder heads! This style can be trimmed to fit, but it's just a bit extra work....]
Atlantic Digital figures and bits (Teutonic Knights), ancients (Persians) and the like are compatible with these accessories right out of the box, you've got several possibilities for offbeat fantasy conversions at least. The digital priests and monks sets, for example, might supply you with some great heads (and arms!) for conversions into fantasy clerics and paladins, for example. By a similar token, the digital classic fantasy culitsts and Cthulhu cultists might suggest some evil clerics. It also looks like the digital Amazons and female hoplites probably use the same connections and might provide some interesting fantasy options, with the caveat that there isn't anything particularly feminine about the knight bodies (though in reality, it would likely be a bit hard to tell the difference under the weight of the chainmail and tabards!)
The WA halflings - and probably the goblins - also use this sort of connection, though the proportions of their heads might be a bit round - maybe not so much so that it would be distracting, though, so you might have some non-human options here. The skulls from WA's skeletons set might also fit with minimal effort, leaving you with optons for undead knights.
I'm pretty sure the dark age and medieval figures produces by both Victrix and Perry use the same sort of connection, for some historical head options that will no doubt look pretty good. I don't know if you can still find the 25mm knights made by Proxie Models anymore, but those use the same connection, and would work fine for low-key historical conversions for this sort of project.
If you don't mind a little work with an Xacto blade, it's not too tough to convert the heads that use the ball-and-socket style connection from kits in the Oathmark and Frostgrave catalogues: the human and Elf infantry, knights, barbarians, soldiers, and even cultists and wizards could provide some very interesting fantasy options. The "heroic" proportions of Oathmark, Frostgrave, Stargrave, Warhammer/40K, and Dead Man's Hand gunfighter(!) figures leave them a bit doughy and bulky compared to the more realistic proportions of the Wargames Atlantic knights, but given that you're mostly dealing with helmets in these kits, the effect probalby won't be too weird or obvious at all. The human kits are pretty obvious choices here with helmets and bare heads being safe bets and soft caps and hats making some interesting alternatives, but for non-human options, I think the elves and probably the undead are going to be the easiest conversions to make (the goblins/orcs look like they use a very different - reverse - ball-and-socket connection that probably wouldn't be too easy to convert!)
Another option that would require a little knifework would be the Wargames Atlantic alien heads (which use a ball-and-socket style connection, compatible with e.g. the Cannon Fodder), if you want to convert some of these knights into weird monsters; the alien heads from Stargrave plastic kits would be more or less the same, with ball-and-socket style connections that would need some minor conversion work. Still, you could field a rather distinctive band of weird fantasy creatures with a little creativity and imagination here!
Heads asisde, one of the easiest conversions you could make for some medieval fighting men would be shield swaps, and Wargames Atlantic has you covered there with a set of hard plastic round Dark Ages shields that would look great with these knights, and a digital set of fantasy shields if you're into 3D printing. Pretty much any fantasy set from other manufacturers (Oathmark, Frostgrave, Warhammer, Mantic) will probably include some shields that can be used with little conversion work here. Weapons swaps are also pretty easy to do here, though your mileage may vary on how well the thick, doughy, muscular heroic-style arms will mix-and-match with WA's knights, and how well the exaggerated weapons from heroic sets will mix-and-match in place of more slender historical weapons!
Personally, I think the easiest conversions to make from these options would probalby be:
- Victrix, Perry, and Proxie Models medieval warrior plastic kits - these kits will probably all mix-and-match just fine with minimal conversion needed!
- Wargames Atlantic historicals - the historical helmeted and bare heads will generally work fine with the knight bodies in a fantasy context, with those outrageous WWI/WWII German helmets, Conquistador helmets, and Roman and Goth helmets, and any bare heads being obvious choices for a fantasy project!
- Wargames Atlantic's digital products - the priests, monks, cultists, and Teutonic Knights upgrade kit (made specifically with the knights kit in mind!), and Amazons and Hoplites would likely be brilliant for conversions! (Look out for the Vlad the Impaler digital set, too!)