I've encountered them a few times. Most of them are randomly generated encounters. Mainly they are in 2's or 3's and when you talk to them they state that they hunt all kinds of "evils", werewolves, vampires and daedra worshippers. This was grounds enough for me to butcher them on the spot.
Other occurences that I have seen are worshippers being attacked at shrines such as the Khajiit at Peryite's shrine. We were having a conversation and the damn bastards attacked the khajiit mid sentence.
I've never seen them at any of the Daedric Shrines myself but I'd agree with defending many of the worshippers against them. Peryite is certainly not my cup of tea and could be considered evil, but the Khajiit wasn't doing anything himself, so I'd be fine with defending him.
I've seen them plenty of times along the roads though, usually fighting vampires and other hostiles. Their zealotry is unnerving and their words are hypocritical, but I don't see words as warranting the wholesale slaughter of their members, so I'd leave them be unless I saw them doing wrong.