I just completed Knights of the Nine so I have the full armor. However once I killed the first guy I got a message saying that if I continue this path I will lose my armor.

yeah you can't wear that armor if you kill a bunch of people or are generally nasty. if you keep that up you'll have to go to each of those wayshrines again and then you'll be able to wear it again. but the dark brotherhood has one of the funnest questlines i've played in that game so i'd say its worth it to play through it and then get your crusader armor back

The Knights of the Nine questline is for good characters. The Dark Brotherhood is for evil character. So they are incompatible.

In my opinion, the Dark Brotherhood questline is worth doing at least once. More than once might be boring, but it's good the first play through, I think. Still I would start a new character for the Dark Brotherhood, since they are evil and a noble and virtuous character that completed the Knights of the Nine would not do that questline, in my opinion.

I agree with Savlian. It's good for doing once. Many other characters that I have created have joined the DB, but do not progress the quest line (much like I do these days for guilds that my character actually DOES join. I don't advance the quest line beyond more than a couple of missions, so I get the feel of being a lower-level assassin, if, in fact, that is what I am. I get a steady supply of enchanted arrows.... you can buy enchanted arrows from the angry Khajiit (his dialogue rocks) every three days. At level 25 and up the selection of arrows is quite wondrous. It's random every three days when his inventory replenishes.

However at the moment, I'm running with a lawful neutral, type character, so the DB is out. Only con I can think of is looking at that lame dagger in your inventory for many levels.... so, not really any con at all.

That's how I see it, too. I put off doing the Dark Brotherhood, because I never managed to come up with a character that would do those things, and whom I liked well enough to want to play. I've finally come up with a character I can believe in, who is doing the DB quest line.

I can see the possibility of "redemption" in a character. If one started out as an evil character, one could do the DB, Thieves Guild, SI (which is morally ambiguous, at least), and the darker Daedric quests. One could then "find religion," and start KOTN. The other way around is very hard to fathom; a noble Knight of the Nine is not interested in being a murderer or thief.

Well, the http://tvtropes.org/pmwiki/pmwiki.php/Main/FaceHeelTurn is a pretty common trope. Good guys can find many reasons for going bad. Ego is a big one, especially when combined with when they think they are not getting their fair share of the glory. Or they just had a bad seed somewhere deep inside them, that just took the right thing to bring out. Anakin Skywalker for example. http://youtu.be/Tb-Mce9VpmY

I'd buy a character going corrupt within an organization, rather than that character going out and joining an opposing organization at the entry level. What motivates a Crusader with a private army to go off and assassinate a nobody in a fleabag inn?

You have a good point there. Maybe it's personal? The one time I did the DB questline it was with Lilith Arcadia, who was [censored] and left for dead by a friend of the family. A guy named Rufio...

My character Etta, who is the first one I've been able to approach the DB questline with, was taken captive by pirates, repeatedly gang-assaulted by them, and kept penned with animals in the hold of their ship. She was no longer of quite sound mind when she got hold of a cutlass and fought her way off the ship, killing all on board.

Her "DB murder" was the killing, behind the Skingrad Chapel at midnight, of a Bosmer who had propositioned her in an alleyway.

That is funny, because with the only other character I did the DB questline with - Peony - her introduction murder was for that very same Bosmer. He was the first person to be nice to her, so she was glad to help him.