I'm not entirely sure yet.. We don't know much about what the area contains, do we? Back in FO3, we knew (at least if we'd keept up with the previews) that Megaton was just outside the Vault, so I first headed there - hoping to sell a thing or two that I picked up in the Vault, maybe buy a thing or two, pick up a quest or two... And of course pick up the first lead on the main quest. After doing that, I spent some time exploring Springvale, heading back to Megaton (to sell any loot) before I headed towards Arefu and the rest is history.
I'll probably follow a similar scheme in New Vegas - Explore Goodsprings, do a few local quests, pick up some leads - and then carefully (as I intend to play hardcoe) do some travelling in the Wasteland to, ah, put on some muscle and fill my pockets somewhat before I tackle New Vegas itself

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