Is there any particular order I should do the add-ons? I thought of doing them in issue date order. Maybe it doesn't matter.
There's some debate on the best order, but just about everyone agrees that LR should be left for last, as the other three all tie in to LR's story. You'll understand a lot more about LR if you play through the other three first.
Personally, I think the order they're released in works very well.
DM - HH - OWB - LR.
But some people think that DM gets better after OWB, so they'd go OWB - DM - HH - LR.
It doesn't affect anything, but LR should definitely be last.
I should warn you that each DLC is unique in tone and structure - Dead Money, for instance, is very much a survival-horror experience where you have little resources and deadly hazards (several of them impossible to defeat with bullets) lurk around every corner. It's claustrophobic and intense, and you have to stay on the move constantly - but more than that, you have to be cautious too. It's a much different experience than vanilla NV or FO3, and provides a challenge even for level 50 characters since you can't really *fight* most of the hazards. Unlike the other three DLCs, however, you won't be able to return to the Sierra Madre after you leave, so make sure you grab the snowglobe and any loot you want before you go.
Honest Hearts is probably closest to Fallout 3 style exploration, but the main quest is short and there's not too many sidequests. Still, good loot, and an interesting story with a gorgeous location to explore. With this one, there's a scripted event soon after you arrive - if you accidentally shoot a certain non-hostile NPC, you should probably reload the game, since you'll have locked yourself into the "murder everyone" ending. Make sure to save right after you get to Zion so you don't lose any progress.
OWB is arguably the best, in that it has lots of exploration, lots of good loot, and a decent story... But some of its sidequests are long duration fetchquests. Oh, it also has a very well equipped house. Beware, however. It's rather quirky. It almost feels like one great big Wild Wasteland encounter.
Lonesome Road is different. It uses the "road" metaphor very well, thus making it very linear. However, the loot is good, there is some side exploration, and the atmosphere in the divide is better than anywhere else in Fallout 3 or NV. They do some things with the gamebyro engine that I didn't even know were possible.
Gun Runner's Armory doesn't add any new quests or anything, but it has a whole lot of new weapons and ammo types. TBH it was worth the price of admission for the unique brush gun and super-duper blue flamethrower alone, by my reckoning.
I recommend in the order they were released (although Honest Hearts has nothing to do with any of the others so do that whenever you want, all of the other DLCs link together).
I disagree - Honest Hearts tells you a lot more about Ulysses, since you actually get to *see* the White Legs instead of just hearing about them. At least two of his audiologs in the divide refer directly to them.