I second what Zarax said. Neither Gothic Knights or Lancers are inherently better than the other; they just serve different purposes. Namely (at the risk of sounding repetitive) charging vs. destroying armoured units. Both of them are nearly impervious to attack.

I can't explain the difference in speed with the same armor. Someone mentioned the quality of steel manufacture in Toledo, but I find that unsatisfying because Germany and Italy were generally recognized as making the finest armour in the world. Spain could produce finer blades but could not quite match the armor quality. So it's a mystery to me why lancers get to go full speed while weighed down equally (perhaps just a gameplay issue-a charge-focused unit that couldn't go fast enough to fulfill its role?).