After Leaving Vault 101 for the first time, wandering into the wastes, what direction do you head in...?
Nearest town/city?
Loot Everything you can get your hands on?
or Perhaps go for a wander and shoot everyone and everything that moves?

Changes each time I leave the vault. I usually just pick a direction and see where I arrive

I head to the nearest caravan to sell all the crap I looted from Vault 101 then go through the school and then pick a direction, usually head to Rivet City, I really need to be less predictable in my directions, I tend to be really routine.

I pick up some free xp from Megaton by disarming the bomb,
Sell My Junk to Moira and pick up as much ammo and stimpaks as possible,
Maybe do a little bit of Wasteland Survival Guide for the armour,
AAAAND then finally after finishing off in Megaton i head off in any direction i please, usually towards rivet city
Should really stop being so predictable :/

I head straight to Rivet City, stop off at the marketplace to sell off the gear I've looted along the way, go across the road to the metro and fight my way through the tunnels until I emerge beneath the Mall. Go to Underworld, pawn off my extra stuff on Tulip, go upstairs and pick up Charon. He's essential to all of my characters' stories so I don't consider my game begun until we're together.

My newest character kinda did this, since in his story he was born and raised in the Underworld, but first I sold everything in Megaton and got a few stimpacks for the journey. And totally ignored Rivet City in the beginning, Fought around a bit to get enough caps to hire Charon, right now my toon is living at the "Inn" In the underworld and he trades the things from Underworld to Rivet city.

First place I went to was the school near Megaton, looking for a place to get rid of my junk, before finally coming across Megaton.

First, I head to Springvsle school and wipe it clean of raiders AND obtainable items. Then I head to that house Moriarty tells you to go and kill the women in, in there I convince her to give me the caps then I kill her and take the loot.

After that I head to megaton, disarm the bomb and sell my valuables, which you guys call junk.

Then I do ALL the survival guide missions.

Lastly, I wonder in any direction looking for loot as I am a MASSIVE scavenger.

I always head to megaton first. Then after selling my loot,resting,eating/preparing and everything else... I head to which ever direction i am roleplaying.. If i am a scientist, i go to mariegold station(which i endup most of the time coz of the kid) and rivet city ..

Well I first time I had a quick wander around Springvale before heading right to Megaton (heard about the bomb off of a friend before playing the game for myself). If I do it again, I'll go to Megaton to get the map marker and then wander off to the West and take different routes and see if I see anything I didn't first time around.