Fallout 3 is pretty fun; just wander and explore wherever you want, just like any other Fallout. However, just play it smart; if you see enemies that are too strong to fight, just leave them alone, and go elsewhere for a while until you level up. The game itself isn't very difficult, but is really fun.
I go for high intelligence, perception, and agility usually. I neglected science, so I missed out a bit on some things in the game; however I went for 100 lockpicking and such.
Make sure to have at least 6-7 in Strength so you can actually carry items with you; I always have a maxed out weight in my inventory by the time I leave any place, so that's always helpful. It also will be important if you want to joke around and use melee weapons.
High guns/sneak combined are rather nasty; I also would invest in Silent Running and such, so it doesn't take forever to get anywhere while sneaking. A decent explosives skill isn't a bad thing to have either; you can use mines to cripple enemies coming through doorways (this is really nice to have for Mirelurks), and you can use it to get a little more time when you're trying to defuse mines (I think the Minefield is in FO3, not NV, it's been a while). I never died during my entire playthrough, so I know that even if that's the not the most effective advice it should work.
Also, make sure to get the one weapon that launches garbage, because it's hilarious to tear the heads off of Raiders with teddy bears, but I think you need some Big Guns skill to use it properly.