The Knights of the Thorn are a minor faction that you can join by completing the Wayward Knight Quest, at which point you are given the title of Honorary Knight. It does not lead to any other quests.
The headquarters of the Knights of the Thorn is the Knights of the Thorn Lodge, a building outside the west gate of Cheydinhal. Non-members are not allowed entry, but as a member you are free to sleep there (except in Farwil's bed on the top floor) and take anything you find inside. One clue as to how the members spend all of their time is in the basement, which contains a healthy supply of wine. Members of the faction all wear an enchanted Knights of the Thorn Medallion. The faction also has its own Knights of the Thorn Shield.
Knights of the Thorn are "sworn to protect Cheydinhal from any threat". They were founded in 3E 431 by Farwil Indarys, the son of the Count of Cheydinhal. Farwil claims that many wish to join their ranks, but they only allow a select few to join. At their peak, there were seven knights. However, prior to the Oblivion crisis they had never accomplished anything, except annoying the town guards and boasting. The guards consider the knights to be nothing more than a glorified club.
When an Oblivion Gate opened outside the doors of their Lodge, Farwil seized the opportunity to prove to the city watch that his knights were brave and courageous. So the Knights of the Thorn rushed into the gate without asking for help from the city guards. Only Farwil Indarys and Bremman Senyan were able to survive the initial attacks, but could not escape: you determine their fate during the quest The Wayward Knight. Even if you save Farwil and Bremman, the Knights of the Thorn take most of the credit for the victory, as evident from the special issue of the Black Horse Courier that appears after the quest, Cheydinhal Heir Saved!.
These items are specifically associated with the Knights of the Thorn