Some of my favorites are,
-The ambient soundtrack that plays in areas like Freeside, really adds to the environment and mood of the area.
-hardcoe mode!
-Giving more choices between how you play your character, live off what you find and scavenge in the wastes or make caps to buy what you need, use your wits to gain as many friends as possible, or gun down all your enemies.
-More explicit advlt themes, less innuendo
Overall im very happy with how New Vegas turned out and with the way Obsidian and Bethesda have continued to listen to the concerns and desires of the community, from Oblivion- Fallout we saw interface changes and gameplay additions that if modified would fit well into the Elder Scrolls series and from Fallout-New Vegas a continues evolution of what we want.