Don't do PL until you're pretty high level; the guys will
wreck you. I went there as like a Level 25 with power armor and was horrified at the amount of damage they put out; they have huge amounts of bonus damage added to their attacks. Point Lookout is BRUTAL combat-wise, at least as far as FO3 goes.
Here's the order you want to do the DLC in:
Anchorage-Pretty much whenever, it's easy and kinda boring. You want to be a decent level with ok weaponry to ensure you survive the end though . 8-10 would probably be fine. This also gives some EXTREMELY powerful items; Chinese Stealth Armor is crazy broken.
Pitt-Pretty easy, but much more interesting than Anchorage (at least for me). High level not really needed, you fight Raiders and Trogs, both die easily and aren't a huge challenge.
Zeta-Tough, but not as tough as PL. Most things die easily, but the forcefielded aliens are very strong. Chinese Stealth Armor in particular renders this very easy as you can simply crouch in among a group of enemies and pick them off one by one.
Point Lookout-Do this last, when you are either high level or very competent with your character. Enemies are bullet/sword/punch sponges and deal ridiculous damage back at you. Great DLC, but absolute murder combat-wise if you're unprepared. This can be done at any time, but
don't underestimate it like I did.
Broken Steel adds some really strong random encounters, but they're leveled appropriately, so no worries about getting owned by Albino Radscorpions at like level 15 if you rush the main quest.