In Fallout 3, you're able to pick a direction and just go (or just go to Megaton) and there wouldn't be much trouble. You might happen across roaming gangs of raiders or packs of wild dogs, but nothing really threatening enough to stop you from forging your own path and choosing your own direction.
New Vegas certainly provides the illusion of freedom pretty well. You're close to smack dab in the middle of the Mohave when you start out and you can see the endless expanses in each directions. The townsfolk may point you down south towards Primm to follow the man who shot you in the head... but that's the main questline...! Screw that! I'm gonna go north!
Ohnoz! Deathclaws! I'm dead.
Okay, so North is a no-go. Maybe I'll go... WEST! Aieeee --- weird flying mutant monsters that take out 2/3 of my health in a single hit! Dead.
Okay... Can't go north and can't go west. I'll go... EAST! zomg, a giant wall of Giant Radscorpions!
Well, maybe heading down south to Primm isn't really such a bad idea after all. Oh, look... a bloatfly. And there's a coyote. Both are killed with single shots. Obviously this is the way I am meant to go. I am being herded by these overpowered mobs down to Primm like sheep.
After doing your business at Primm, you're kind of in the same situation as you were in Goodspring. The townsfolk tell you to follow the suit-man east towards Novac.
But why would you want to do that when there are locations to the south and west? Oh, wait... overpowered enemies again. o_x
I might not have noticed it on my own. I was obliviously being herded from one quest-hub to the next quest-hub. It became much more obvious when I was talking to my friend about the game and realized that he had done... just about everything I had done. Almost exactly. We went the same places, met the same people, did the same quests, and found relatively the same items.
There should be more opportunity for a unique experience.
Oh, and the Mohave Desert looks smaller than the Capitol Wasteland.
I hope Obsidian does good in the way of DLCs and expansions. :3