It is also the piece of kit most commonly lost.
When choosing a knife for spearing it must be a stilletto style with a good point for iking fish. Choose one with a blade no longer than 10-12cm. This is so its not long enough to go right through the fishes head and into your hand. Also look at the sheath. The best sheaths have a round, rubber toggle that secures the knife handle which is far more secure than the push button knives commonly seen.
The best place to keep your knife is either on your belt or on your arm. That way it is unlikely to get tangled in your lines or kelp and is very easy to get at. Whatever you do don't put it on your leg.
Unfortunately virtually all dive knives will rust. True stainless steel, like 316 marine stainless, is relatively soft and won't hold a good enough edge for a dive knife. You can stop the rust though by not storing your knife wet and if you are really worried you can coat it in vaseline or cooking oil.