It's not that I don't like the game, it's just...
  I don't like the fact that if you don't go in the right direction to the quest, you will get your ass kicked by Raiders at a way higher level than you...
  For example, for the first part of one quest, I have to make my way to a city that's wayyy in the south-east... And all I can think of is all the time I'll be in danger of just being raided by a gang of Super Mutants, or something, and be completely overpowered, waste all my ammo on them, die, and have no way of getting past without grinding for ages....
  It's happened to me in Oblivion, that's why I never got into it.
  Has anyone else encountered this kinda thing in Fallout 3?

Yes, I have been one to go without ammo, but you might want to lower the difficulty to Easy in the gameplay options menu. That could help you get raped less.

  .... You can change the difficulty?

Maybe you are playing the game not in the right way. Have you increased your guns skills? Are you using guns you have low skill level? I know most take this for an FPS, and as soon as they found a Laser Gun they thought it would kick ass but it was theirs who got handed in a silver plate. Imo, Its much easier than Oblivion, mostly because of VATS

  I'm okay when it comes to VATS, and with the first-person mode, as well.

  I've been putting a fair few points into the small guns skill tree, to make sure I'm effective with them. So that means I'm probably just not playing it right...
  Perhaps I'm relying too much on VATS...
  Right now, I've got a load of ammo from Hunting Rifles from battlin the Super Mutants whilst trying to get to Three Dog.
  I'm only a level 4 right now, though. It's just not letting me get through levels... (I might be level 3, I don't even know)

  I'm gunna fire it up right now, to see if I can make it easier on me.

  So yeah I just it onto Very Easy.  Should make it a tad easier than Normal. To be honest, I want to have fun playing this game, more than anything. I'm not in it to be "1337 @ teh worldz of Out-Falling!"

  Don't judge me!

I changed the difficulty to Easy. I am not playing it for the combat and i dont really want to get stuck on it that often.

Well, if I where a person in post apocalyptic times that has lived most of my sheltered life, well in a shelter; I wouldn't expect to kick much Ass my first day out. I would say run, and run some more.

Hell, in Oblivion, I used to love pissing off the guards so they chase me and I would hit and run with arrows til they die in the middle of nowhere; then I loot thier armor and sell it off.

I found your mistake, DONT EVER USE THE HUNTING RIFLE. its by far one of the worst guns in the game. Yes its cool, who doesnt like the rifle sound when firing and reloading, but its slow, and even with the skill high enough, it does not pass the 25 cap. I recommend using either the standard 10mm gun, or if you can, get yourself a Combat Shotgun, one of the best things (aside from exclusive guns) in the game.

"I found your mistake, DONT EVER USE THE HUNTING RIFLE. its by far one of the worst guns in the game. Yes its cool, who doesnt like the rifle sound when firing and reloading, but its slow, and even with the skill high enough, it does not pass the 25 cap. I recommend using either the standard 10mm gun, or if you can, get yourself a Combat Shotgun, one of the best things (aside from exclusive guns) in the game."

Everyone is telling me about a guy who tried to kill or killed Simms, but that never happened to me, and I defused the Bomb :D I wonder if it is another glitch of the game