The GoTY edition for PS3 comes with Shivering Isles and Knights of the Nine is already included.
The only other downloadable content available for Oblivion are little mods etc such as Frostcrag Spire and Armored Horses. These are not included, but this takes nothing away from the game believe me. The only other places you can get these are for the PC (By special plug-ins), and 360 versions (off the marketplace)...