If you're playing a good "knightly" character, it's probably the best quest line in the game.
This. It's questline is easily as big as the major questlines in the base game. You can plow through it and end up with a good set of gear (that levels itself, btw). But if you take time and enjoy the story, it's hand-down got the best lore content in the game.
Shivering Isles is a lot of fun, too, although maybe not for everyone. I have characters that bypass or avoid it altogether. It's very rare that I have a character that spends much time there beyond completing the main quest (which is huge, admittedly).
Not sure if you care about other content, but those two are the best ones. Other than those only Mehrunes' Razor is what I would put in the category of "you should at least try it". Everything else is pretty straightforward and simple - either you want what it offers or not.