Ammo Plz - The problem with most games is too much ammo, you can't seem to open a soup can in most shooters without finding a shell. Not so in Fallout 3. Ammo is scarce so far in the game. Often times I will finish a quest with no ammo left, having started with enough rounds to bring down most of the Canadian Army.
…and the horse you rode in on - Kevin Costner once played a postman in post-nuclear war America, where he rode a horse and duped people into believing the government was coming back, before becoming a hero somehow that I forget. Anyways, he rode a horse. Some form of transportation beyond my feet would be amazing. It's not so bad when you instant-travel to already discovered areas. But it's long walk to Rivet City from Megaton is all.
V.A.T.S. of crap - VATS - that is to say, the system that stops time and allows you to aim at specific body parts to dismember your enemies or even blow their heads out, is at best a nice gimmick. The first few times you use the system you are amazed at the varying results. Until you figure out the grueling pattern; take out the legs then blast away the torso. My biggest annoyance with VATS is the fact it often makes no sense; 5% chance to hit torso but 95% chance to hit an arm? What the hell is this?
The above being said, this is still an amazing game.
I also recommend everyone check out Auditorium. This has to be the most addictive thing since WoW.