Stop fussing at me about knights!! I get it!
I think the Rohirric people has mostly a oral tradtion of learning. They did have a writting system, but probably only those in Edoras and in the army really know a lot of it. Could be wrong.
I think that with Rohan, as in most countries of Middle-earth, they know of other places, some of other places' histories, but were mainly concerned with their own. The Rohirrim did know about Oromë at least, who gave them horses, and mostly likely knew of Manwë and Varda, but I'm uncertain about the other Valar. They definately would NOT know about the Three, not even all the Elves knew of them; they were hidden. They probably knew as much about the Nazgûl as any average Gondorian. And wouldn't know about the Balrog, not even Gandalf really knew if Durin's Bane would trouble them. They knew of the "hole-builders" who lived near them before they came to Rohan, but probably thought there were none left, before meeting Merry and Pippin.