Although they do both plugin I would say that Shivering Isles is a game in its own right. It adds an entire new land via a portal. Yes, you can use the same character as you do for Oblivion but it's completely unrelated otherwise, other than the existance of a portal.
Knights of the Nine on the other hand is a collection of all the official downloadables prior to Shivering Isles. There are quests but they are all short aside from the one in the title. Though the 360 version contains only the main quest. The others can be obtained individually by download, though it may be cheaper to sell your current game and buy the GOTY edition which contains everything AFAIK.
Oh, and a word of advice. My warrior character had become so strong midway through Oblivion that I walked through the expansions without even having to use potions or scrolls. Every enemy required nothing more than a few swings of the mace, and even the bosses went down like children. In retrospect, it would have been more fun to have cranked up the combat difficulty as The Elder Scrolls games never scale well as your character progresses. So if you are finding it too easy then I would recommend notching up the difficulty accordingly.
