In-context learning has been applied to knowledge-rich tasks such as question answering. In such scenarios, in-context examples are used to trigger a behaviour in the language model: namely, it should surface information stored in its parametric knowledge. We study the construction of in-context example sets, with a focus on the parametric knowledge of the model regarding in-context examples. We identify 'known' examples, where models can correctly answer from its parametric knowledge, and 'unknown' ones. Our experiments show that prompting with 'unknown' examples decreases the performance, potentially as it encourages hallucination rather than searching its parametric knowledge. Constructing an in-context example set that presents both known and unknown information performs the best across diverse settings. We perform analysis on three multi-answer question answering datasets, which allows us to further study answer set ordering strategies based on the LM's knowledge about each answer. Together, our study sheds lights on how to best construct in-context example sets for knowledge-rich tasks.