In reply to alo123:
If you're retreating up the rope, Klemheists are a good choice, as you need to unload them before you can move them. This gives an extra element of safety, and since they're used in pairs unloading one knot isn't a problem because you load the other one.
On the other hand the best choice of knot for protecting an abseil is the French Prussik, which unlike the Klemheist can be released under load. You'd get away with using a Klemheist, but it's possible to conceive of situations where you couldn't unload the knot to move it.