I think you can get the stuff (for the PC) via Direct2Drive and/or Steam? I don't know for certain; I have the retail disc of the DLC.
Not all of it is compatible with other stuff. SO check that out first. As far as I am aware D2D stuff won't work with a retail version of Oblivion, but don't quote me on it. You can also buy the retail DVD of Knights of the Nine, which contains some of the DLC (can't remember which). Hopefully I've been slightly more than half helpful.
Also, wrong section.