Well, I have actively ignored fallout for what and unholy timesink it was, but here is what I will reccomend:
Have 2 planned fighting skills and max them asap, also the repair skill. Small guns and *something else* is a good beginner route. The main plot gets washed out kind quick, but there are some sweet moments (nuking megaton, for example) and some interesting consequences to observe (not nuking megaton, for example). Be ready to discover a bunch of shit you fucked up on, and perks that are no longer useful to you causing you to start over.
Once the man plot strings have gotten you accustomed to a good portion of the world, just pick a direction and start walking. You will always find something cool. Sometimes there aren't even quests involved, but you just end up finding cool shit. Also if you plan on nuking megaton, make sure you've milked it for the quests and such first.