It doesn't report your hardware unless you join in the Hardware Survey that pops up once or twice a year, it just tracks play stats. That's par for the course these days (trend started with Halo) and is only really useful for balance/game design feedback- things like Bungie's Halo deathmaps plotting who died where to what weapons on each map allowed for better understanding of map design.
Valve at least make sure they're anonymised, and I'd be pretty surprised if it sent any gameplay data beyond hours spent/achievements got for NV. NV's singleplayer so it doesn't need Team Fortress-2-esque full feedback, and given how FO3 didn't have any functionality beyond that, I'd be surprised if Obsidian had put it in.
I took a look at this - - - there was in fact something I didn't expect to see.
When I started fallout3.exe (no mods loaded), and had not loaded a save at that point, I saw my machine do a DNS lookup for the hostname go.micrsoft.com. This returned IP address 64.4.11.160. A TCP connection was then made on port 80 to that machine and a URL was requested. Netstat showed that fallout3.exe was responsible for this connection.
I was able to see the URL that fallout3.exe had loaded, and I gave it a try myself. That URL seems to cause the microsoft web server to attempt a redirect or similar to www.us.steinberg.net, which is a CNAME for another host - us.steinberg.net - - and that host doesn't have DNS right now. It looks like the same result when you do this from either Europe or USA.
I note though that the company which has this domain (steinberg.net) has some stuff to check out on their site, and info about the types of services they provide ( http://www.steinberg.net ). Seems to be in Germany.
I did this several times, and saw the same result. I will guess that fallout3.exe was set to send something to the steinberg network, but I don't have the greatest understanding of what windows apps like this might be up to.
I took my character out (no mods still) and got it killed by an enclave squad 2 times, and at least from that, I did not see any new traffic go out. Fallout3.exe did not seem interested in sending information about my character's deaths.
Interesting things, here.
I'm going to be watching these games more carefully in the future, and I'll restrict this stuff a bit more on my LAN I think. I'm glad you said something.