It was recently reported that a Gamestop listing had been spotted which suggested an expansion to The Elder Scrolls IV: Oblivion was going to be released in November. However, the V.P. of Marketing and Public Relations for Bethesda, Peter Hines, has gone ahead and shot down the rumor.
"There’s no expansion in development called Knights of the White Stallion. That’s the name of a quest in Oblivion. Right now we have no announced plans for any new content, add-ons, or expansions. If that changes, we’ll let folks know."
Notice that he stated that there is no expansion being developed under that name, and that there are no announced expansions being developed. That doesn’t deny that there is an expansion being developed which hasn’t been announced – so don’t let your hopes for an Oblivion expansion diminish just yet.