According to http://www.uesp.net/wiki/Oblivion:Knights_of_the_Nine, KOTN is/was available on
the retail version of the Shivering Isles disk.

Is this a typo? I have the SI expansion package (PC DVD) and I don't see it anywhere. Just
checking before I spend my $eptims.

I'm also thinking about grabbing the Orrery, Mehrunes Razor, Thieves Den, Vile Lair and Wizards
Tower plug-ins. Opinions please?

I don't have it on mine either. But if you buy the KotN Downloadable Content Collection, you'll get the other DLC too. Even Horse Armor.

From what I can tell, only the XBox version of Shivering Isles came with KotN. (I can't confirm this though)

The retail version of KotN also comes with all but Fighter's Stronghold.

the orrery is bugged. it interferes with quest for the mage guild. you might have to remove it and reinstall it after finishing with the mage guild.

if you have the wizard tower, it locks the magic shop in the market place in the imperial city. you can pick the lock or use an unlock spell. it just means you will have to pay a small fine every time you enter the shop.

the mehrune razer is dud, that is it is way over hyped. but you can get other magical stuff there. the place is large enough to explore so i think you will get your money;s worth.

vile lair is ok. it comes with a vampire cure. thieves den is ok. small area. but you can get thieves to steal for you.

Shop ownership with the wizards tower is fixed by http://www.tesnexus.com/downloads/file.php?id=9969.
If the interference with the mage guild quest is Bothiel getting stuck where you can't talk to her, that's also fixed by UOMP.

There's actually quite a large list of things fixed by it:
http://www.baldurdash.org/TESOblivion/UOMPFixList.html

What I seen in shops for the pc The Shivering Isles and Knights Of The Nine came in separate disks. With in the KOTN disk, you get the other DLC said for Battlehorn Castle. Don't think in the GOTY edition have those DLC that came with KOTN. It dose not.