To unlock the new Plague Knight’s adventure and Challenge Mode that the expansion brings you’ll have to beat Shovel Knight’s adventure. However, Yacht Club says that if you’ve lost your save progress or switched to a new platform then it’ll share a special code so you can get access right away.
The main part of this update is experiencing Plague Knight’s adventure. It has a new play style (as Siliconera detailed here), new story, and new bosses. One feature not mentioned before is that Plague Knight can pick up ingredients around the levels and, through the power of alchemy, craft new equipment and power-ups.
The story behind the new adventure goes as follows: “Using his maniacal scientific mind, Plague Knight is seeking to concoct Serum Supernus, the Ultimate Potion. However, to retrieve these ingredients, he must extract them from his former allies… the villainous knights of the Order of No Quarter!”
As to the Challenge Mode, it issues you with speed run challenges, boss rematches, tricky puzzles and “other rule-benders.” So there should be plenty to keep you busy.
If you want to find out more then you can check out the Plague of Shadows online instruction manual.