I'll tell you what I know regarding the new-ish rules and supplements, but I'm positive someone else will be able to later answer your questions much more efficiently.
Khazad-Dum is indeed the ''replacement'' supplement for Shadow and Flame. I'm not sure exactly how long ago you were active in the hobby, but there was an expansion to the core rules called Legions of Middle-earth, which is necessary for balanced army creation. Since that expansion was released, many further sourcebooks, such as Khazad Dum, were released, to specify the models available to a region and provide further official stats. I found a review of the Khazad sourcebook on YouTube, but the guy reviewing it is rather dreary: http://www.youtube.com/watch?v=7pg7k24gbEE
War of the Ring is an entirely different game that shares the same miniature range as The Strategy Battle Game. I have never played it. It is specially customized for playing out large, quick, "epic" battles with your miniatures. I've heard both good and bad things about it, but as far as it affects the LotR range, it is good in the fact that GW is still consistently putting out miniatures for Lord of the Rings, but bad in the fact that GW support for SBG has now dwindled to White Dwarf articles.
BTW, I like the pics in your gallery, very nice Pippin 
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