Palette knives come in a variety of shapes and styles. They are usually steel blades with wooden handles. The better the knife, the further the metal extends through the handle.
There are three main types of knives: a symmetrical knife that has a rounded tip, which is good for mixing paints, a knife that is symmetrical with a pointed tip, which can be used for details and sharp edges, and an asymmetrical knife that has a pointed tip and is diagonal on the end. The asymmetrical knife can be used to apply paint, scrape paint off (which is called "sgraffito") and even clean excess paint off of a palette.
Palette knives have a crank or bend in the handle. This is to protect the painter from getting knuckles covered in paint.
It is best to wipe paint off of a palette knife in between each application so that it is clean and colors do not blend unintentionally.