So after owning the GotY Edition since January, all this talk about New Vegas has convinced me to finally check out what all the hubbub is about. I've just made it to Megaton for the first time and I've already realized that this game is going to be one hell of an experience. Basically I'm creating this thread because I have no idea what I'm doing right now, and I'm hoping some veterans can give me some tips on how to get the most out my adventure. I'm sure as I continue my travels I'll come back to ask many more questions, but for now my query is pretty simple and I'm sure you've all heard it a thousand times.
 
What are the best weapons, armor, and general items to have in the game? Keep in mind I have all the DLC, so what should I head out to acquire first?

Discover it for yourself and you will have a way more wholesome experience.  Just go with what seems right and then the game will reward you suitably.

Play New Vegas. It's better. That's my veteran advice

I would advise you to play on the PC and download these mods: http://www.pcgamer.com/2010/10/13/10-essential-fallout-3-mods/

Fallout 3 is going to seem overwhelming at first. But take your time, get into a mindset where you're always constantly aware of your own survival (because for the first few hours you're going to be doing little else but scrounging), and build your skills and stats. 
 
A good way to see a good chunk of the Wasteland is to visit Moira in Megaton and start doing bits and pieces of her Wasteland Survival Guide quest. It's like an extended tutorial.

Also, try not to use guides or walkthroughs as best as you can. Part of the magic of the game is its sense of immersion through exploration. You'll find worthy weaponry and armor in no time. 

Keep an eye out for Magazines and Bobble-heads to increase your skills and stats they are scattered all over the wasteland.