Just curious how the DLC items work? Does it just make the game map larger? How will I know which of the DLC's im entering into and how will I avoid them in early levels?
In addition to what Zerker said, the messages will also tell you the minimum recommended level for the DLCs, so as long as you're reading everything you'll be fine.
In F3 I tended to just explore alot without doing much quests... I seemed to skip half the story by meeting someone somewhere on map... Is there a danger of missing many quests by exploring alot?
If you mean in the base game, then no, there isn't that problem, since many quests can only be found by exploring. There
is a part of the game where you can reach it first and accidentally skip the preceding quests, but you'd only be skipping the first act of the main quest.
Spoiler Since you've played New Vegas before, it's when you meet Benny, that skips the 'finding and dealing with the Khans' part of the main quest. Similarly if you go straight to Boulder City you skip the 'finding the Khans' part.