Ok. I have a dumb question. I have the Ultimate edition installed which has the dlc's already installed . I never played the dlc's before. My question is how do I know which one I am playing? The ingame stuff doesn't have the same name as the actual dlc. Thanks.

I think each DLC has a pretty clear introduction, with a 'are you sure you want to start, you won't be able to go back to the Mojave until the end' on the door/object that triggers the start, and usually mentions the actual DLC name.

As for quest titles:

Sierra Madre Grand Opening! - Dead Money
Happy Trails Expedition - Honest Hearts
Midnight Science Fiction Feature! - Old World Blues
The Reunion - Lonesome Road

Thanks. I actually didn't try to trigger any. Duh! The reason that I was asking is that there seems to be a recommend order to play them.

Thanks again.

New Vegas DLCs (apart from the equipment packs and GRA) are independent side stories, with their own beginning and ending cinematics (though Lonesome Road doesn't have a an opening one), so it's pretty clear when you are playing one

Lonesome Road should definitely be played last. I'd also play Dead Money before Old World Blues, because there are some OWB references in Dead Money that are kinda weird if you've already been to the OWB area. Both Dead Money and OWB are recommended for pretty high levels though, so I didn't really start playing the DLCs until I was around level 20-25 and already did a large part of the main story.

Even though the New Vegas DLC all take place in separate areas outside the Mojave desert, story wise they are very much connected to each other and the main game. Which is very different from Fallout 3's DLC, which were entirely isolated except for Broken Steel.