The pervasive belief is that we should hold hold the knife with our index finger on the bolster - the part between the handle and the blade. Many people choke up on the handle to get a better feel for the knife, to "control" it better. the feeling is much more pronounced when you use a bigger knife and is common even with experienced cooks.
This however, is NOT the preferred technique. it commonly taught to compensate for lack of skill / comfort with a knife. This is fine in the beginning, but you get stuck with this grip and it's very difficult to unlearn. It's far better to stick with the uncomfortable grip and with time you'll get comfortable with it.
the proper grip is the naturally assumed one: grip the handle like you would a stick. it should feel comfortable in your hand, but will likely feel a little loose - with a lot of looseness in the wrist. That's actually a good thing - when you become more comfortable with a blade you'll cut at different angles and directions - you'll need the flexibility in your wrist.
situations that you can't use the "choked up" grip:
a) if you use any other knife than a chefs knife or cleaver - boning knives, slicing knives, serrated blades, paring knives don't have a large bolster for you to grab onto. you will have to use the traditional (proper) grip anyways
b) some chefs knives, and slicing knives have a very short (height) blade. if you use the choked up grip, your index finger is very close to corner of the blade and you CAN cut yourself. This is also a problem when you sharpen your chefs knife a lot, and the blade gets shorter
c) the callous. a lot of chefs think you have to earn your callous - a sign of an accomplished cook. that callous is formed from the hard heel of the blade rubbing against your finger. with the proper grip - you don't get a callous. its much easier on your hands
the callous is not only unsightly and unpleasant, for those who cook ALOT it can become a problem. the callous can become so dry and hard that it splits and doesn't easily heal. this is not only very painful, but susceptible to infection in the dirty environment of the kitchen
d) difficult to chop something hard. sometimes impossible since the heel of the blade smashes into your finger. with the proper grip you can chop / smash things easily.
if you use the right grip from the beginning - you'll have fewer problems down the road.