http://www.gamesas.com/topic/1403344-what-does-dawnguard-add-to-the-original-world/page__fromsearch__1
Technically it's a new worldspace, but it's integrated into Skyrim (Fort Dawnguard is in a canyon you enter via a cave, Castle Volkihar on an off-shore island). Other new locations are all within exisiting Skyrim area. Soul Cairn is obviously in Oblivion.
You can meet new enemies and find new items in dungeons already visited (like gargoyles in Bloodlet Throne).