My first Fallout game was 3. Sadly I was dumb enough back then to not buy the GOTY version so I had to buy the DLCs separately. I'm only missing Mothership Zeta, I have all the others, favourite being Operation Anchorage
I liked broken steel for the epicness of effecting the game with a nuke armed sattelite to fire wherever you want. also it was nice to have it open ended since the ending blew so bad. great game, shitty endings. New vegas is fucking awesome, it holds up next to the first 2 the best I think (same development team)
I haven't played FNV to the end properly (I tend to mess around and just shoot deathclaws, people and so on with the AMR and mod weapons), but Lonesome Road seems promising