Dunwich Building wasn't creepy, it was just dull. Lovecraftian horror is overdone and was never even remotely frightening. Now, if you want something a bit frightening in a game, play the Shalebridge Cradle level in Thief: Deadly Shadows.
That said, there are certainly far more interesting locations in New Vegas than there was in FO3. Every vault, for instance.
I'm going to have to disagree. Vault 34 was just a ghoul infested vault with an armory (not much back story to it other than a civil war breaking out I believe). The Dunwich Building was so intense though. I remember going in there and having it be completely quiet. I picked up notes that were like cookie crumbs leading me to the end of the maze with the notes getting crazier and crazier. It was dark and the ghouls would be around corners and when I finally got to the bottom I felt like I actually discovered something that wasn't "congratulations you killed a bunch of ghouls, heres a gun". The thought of reward wasn't what compelled me to go deeper, it was the thought of finding out what really happened. Nothing in FONV has compelled me like that yet.
I had a different experience. I knew from the word Dunwich exactly what I was going to find in the building. I found it to be very tedious to piece together a story when I already knew what the ending was going to approximately be. It was way too obvious of a pop culture reference to really have an effect on me.
I think every vault in FO:NV has had a story worth delving into, especially the vault gift shop in the strip.