As for indoors exploring whether it be caves or houses etc I'd say Skyrim still felt better to explore, to me at least. There is more towns, which means more buildings, which in turn means more people to 'explore' dialogue with. As much as I found one or two cave/ruins were just copy and pastes of other ones they were still better looking, bigger and more interesting than the buildings/caves of New vegas. I think the colour is also a big part in exploration, Skyrim used good shades of green, blue and yellow in places with gave it a really nice effect, where as Vegas' cave systems just seemed to paint over the scenery with either a brown or blue tint for everything the only exception being NPCs or weapons found in these caves.
Deserts are bland. All of the vegas area, except the high mountain mutant lodge zone, is desert. Most desert is bland looking. There are some exceptionally colorful and pretty desert formations in the west, but the Vegas area definitely doesn't have many. Combine that with the old crappy FO3 engine they had to work with, and you get what we got. Skryim has Bethesda's latest-greatest engine and a buttload of time and effort put into its scenery- I'd make a wild guess they probably invested at least twice as many man-hours into creating just the Skyrim landscape and dungeons alone, as Obsidian was allowed to put into the entire production effort to make all of the elements of NV. It was their big selling point for Skryim, and it obviously worked. So comparing the two in any way, is simply unfair to Obsidian or NV.
As for more towns and buildings, yeah, Skryim had more, but there was nothing to do in them, besides get a few quests or burglarize and pickpocket in them. The conversations within them were hardly earthshattering (and very rarely interesting). Many of the buildings in NV were awesome exploration and combat zones, far more fun than any of the buildings in Skyrim, IMO. More buildings and towns doesn't mean more quality. Just more bland, 'who cares' quantity.