When starting the game for the first time it asks me if I want to play Shadows of Amn or Throne of Bhaal. Wouldn't I want to play Throne of Baal, since it is the expansion plus the original game. Why would it ask you which one to play when clearly you would want the full game?

Am I missing something?

On that screen, Throne of Bhaal doesn't include the original game. It's more like a third game, you have to import your character to it like you would have from Baldur's Gate. So, select Shadows of Amn to play the original campaign, then when you're done with that you play Throne of Bhaal.

oh. Okay I got it. Thanks!

Following on from what cyberneticbarry said, when TOB was first released there would have been a lot of people who had played SOA and had their characters ready to import straight into the expansion.

It would have been unfair (and annoying) to make them play it all again ;)