I've heard that from a few people.
If you're new to the series, the most of the reasons some people prefer New Vegas won't matter nearly as much to you. Fallout 3 is a great game, it's just great in ways that New Vegas isn't, and vice versa.
As for tips, I'd stick around Megaton and do some questing (Moira has a good bunch of them for you). Pick a few skills (hopefully you tagged good ones) like small guns, repair, medicine and concentrate on bolstering them as much as you can early on. The Power of the Atom quest you get from Lucas Simms in Megaton can get you a house early on, which helps. Routing the raiders from Springvale Elementary is good for XP, ammo and items.
And don't sweat the main quest too much early, there's plenty of other stuff to do. Plus if you pursue the main quest too much too early, you'll be at the end of the game before you experience a fraction of what's out there.