If you own Oblivion, don't overlook this amazing expansion.
For those who don't know, Shivering Isles adds a whole new land to explore that totals to about 1/4th of the original game. The land itself is the home realm of the Daedric Prince of Madness, Sheogorath, and is thusly crazy in and of itself. The highlands of Mania, which are bright and colorful, are home to creatures and people of the same nature. The people are generally happy, dress in colorful clothing, and many are fairly artistic. The creatures that reside in these lands are colored with vibrant shades as well. The lowlands of the Shivering isles are known as Dementia, and offer a stark change in scenery. The flora is very dark and dreary, and so is the mood it sets. The creatures of the land are very dull in color, which is a large change from the Mania side of the land. As you'd expect, the people on the Dementia side of things are depressed, paranoid, and love pain. The capital city of the Isle, New Sheoth, is as split as the land it sits on, and is divided into two very different cities; Bliss, and Crucible. As in Oblivion, there are guards, and they are split as well. Bliss has its Golden Saints, who are a proud and haughty race of Daedra, and Crucible has Dark Seducers, who are just as proud, if not more. New Sheoth is also home to Sheogorath's Palace, and the governmental bodies of the Isle.
On the topic of what the expansion adds as far as items, there are a few new armor sets to be had, as well as a good supply of weapons to go with them. The two main sets are the armors and weapons you get from the forging system implemented in the expansion. The process by which this goes down is similar to the way they did it in the Tribunal expansion for Morrowind, you find the raw ingredients (Madness Ore, and Amber) and bring it to the merchants that can forge it for you. You can also find Matrices to further supplement the armor/weapon, and add an enchantment during the process. You may find the enchantments aren't anything special however, so you will likely end up just selling these pre-enchanted ones. There are a few unique items to be had as well, though as with the main game, most are from quests. There are many new clothes added as well, most notably the robes of the "bad guys" you can get, which allow you to approach them at a distance without them recognizing you as an enemy. The largest amount of anything added however are the alchemy ingredients. There are just over 30 new ingredients added, all of which are very useful for alchemists.
The Main Quest has you defending the Isles from invading Knights of Order who wish to bring order to the realm. These quests take you through the joinable (by joinable, I mean you join it when you enter the isles) faction called Court of Madness. There are many fun quests to accomplish along the way, and all lead up to the inevitable BBEG (big bad evil guy) fight. There is also a big twist at the end that may make some people (people who know the lore) question what Bethesda was thinking. Weird twist or not, I find the MQ to be much better, or at least implemented better, than the MQ of Oblivion.
Overall, this is an expansion that is not to be missed, if you have Oblivion, do the right thing and go get it. If you don't have Oblivion, go get it, play it for a while, then go buy this expansion. You won't regret it.