Knowing "of" something means to know that it exists.
This is a good expression for talking about bars, restaurants, stores, etc. that you've heard about or been to, but that other people might not know of:
I know of a really cool bar a few blocks from here. You wanna go?
It's also good for talking about people that you've heard about or met only a little bit, but don't know personally:
I know of a guy who lives here in the city who brews his own homemade beer.
In this example, if you said "I know a guy who..." it would sound like this person was your friend, coworker, etc.