I got the game today and started playing- it was as soon as I finished the Main Quest*.
What's the armor like in the Shivering Isles? Better than Daedric? I currently have a full Sigil Stone enchanted set of Daedric (Resist Magic +110 with Mundane Ring, and some spell absorption due to the Spelldrinker Amulet, my custom helmet and the Magebane Greaves I found) and a few spare Sigil Stones (unfortunately I didn't have the patience to contiuously load game to get the Resist Magic +20 among the 22 Oblivion Gates I closed before the Main Quest shut them all forever, so I only have one of them).
It'd be a shame to stay in Daedric in the Shivering Isles if there's no method to get cool, enchanted Madness Armor that's more capable than my current Daedric set.
One cool feature I found is that when you steal in someone's house, they'll run up and take what you stole back from you.
I've yet to kill the Gatekeeper.
*Annoyingly, the first time I finished the Oblivion Main Quest (on this playthrough, I finished Oblivion originally last year, on my old machine) both Baurus and Jauffre died. I couldn't have that, so I loaded and went again, and they luckily both lived (though one hit would've killed Jauffre).
As to Knights of the Nine- in the Undercroft of the Priory of the Nine is a special display stand where you can put all the Relics of the Crusader with a simple tap of the spacebar (and take them off again, either all of them or one by one)- including the Mace and the Sword (the Sword is my main weapon).
Why the hell didn't Bethesda implement this as a buyable item for all your houses? I was thinking a similar display stand together with a weapon rack for all the different types of weapons (ie. Ebony Armor and all the Ebony weapons in a rack behind). The stand in the Undercroft proves it can be easily done.
For my part, in Frostcrag Spire (my main home) on the main level, I've set up manequins (provided by a manequin mod) in a sort of semi-circle on either side of the Atronach altar (not on the raised area, but on the floor below it) with all the different armor types that I've collected full sets of throughout my 110 hours of playing Oblivion. On the right is the heavy sets (including Blackwood Company armor, that's how anal I am) with Daedric Armor being in a position of primacy, and on the left is the light sets (including Brusef Amelions' armor), with Glass Armor being in a position of primacy. In the centre is a manequin with my Arch Mage robes, armed with my Mage's Staff of Soultrap (symbolic really).
In the Frostcrag Spire vaults I've stored all the different types of weapons (with the exception of the various longsword types, which are all being held in ready position by the manequins upstairs) for each armor set, the Daedric artifacts I have no use for, miscellaneous unique magic items I don't want to get rid of, a huge store of magic and normal arrowsl, and some spare full sets of glass and daedric just in case.
Oh, and the Bag of Holding mod works with Shivering Isles, so I really didn't need to go to all this trouble, but I thought I'd get my house in order before I set off to the Shivering Isles just in case.
This is the most fastidious I've been ever, by the way.
