Fallout 3...

Actually it isn't open-ended. If you follow the main quest you'll eventually reach a point of no return. Unless you have the Broken Steel DLC, which gradually ruins the balance of the gameplay but does extend the experience beyond the main plot.

I don't want to spoil anything, but I will say that unlike Oblivion once you begin Fallout 3's last story mission you're at a point of no return and once that's over the game completely ends. For this reason alone I suggest getting the Broken Steel expansion, which increases the level cap to 30 and most importantly lets you play after the main game ends. It also includes three missions that are kind of generic but still pretty cool if you like fighting deathclaws and enclave.

I haven't tried Operation Anchorage and Mothership Zeta, but based on what I've heard they're straightforward shooters and kinda generic. MZ is tougher so I wouldn't attempt that one first. You gets lots of cool weapons and armor from both of them so they're worth playing for that.

Point Lookout is probably the toughest one so I suggest attempting that one last. You don't get too many interesting weapons and items (double barreled shotgun is pretty cool, but I almost always prefer the Terrible Shotgun). However, the location is pretty cool and fighting inbred rednecks that take multiple shots to go down is pretty cool.

The Pitt is a good idea and has an interesting moral choice at the end, but it's way too easy and not as good as it could've been.

I DID finish the main plot, but I do have the other DLC so I'm going to give them a try. I thought the main plot was a little hokey in that the big mutant that's intelligent and acts as your bodyguard won't turn on the Purifier in the irradiated room when he could do it without you dying...

He's all like "I would never stand in the way of your destiny"....yeah, you mean you'd never step in the way of a bullet for me...thanks, bodyguard. Some "Super" Mutant. Pfft.