1. VATS (Vault-Assisted Targeting System) is this deal that lets you make a certain number of called shots on an enemy in combat. Oddly enough, VATS... actually works. I've found it especially handy when dealing with foes armed with missile launchers -- it's a snap to shoot the stupid thing right out of their hands. Then I use the Shishkebab on them, of course.
2. The quests are not just interesting in and of themselves, but they tend to have multiple levels and be layered on top of each other. The "Those!" quest is a great example -- I stumbled over it when going to the Anchorage War Memorial, and exploring Grayditch and the metro station led to at least three other independent stories going on. Even after "Those!" was officially completed it all urged me to keep exploring and finally make my way to Rivet City, and so forth. (Incidentally, despite appearances you don't have to cut straight through downtown DC to get there.) Stuff just builds on itself in a very organic fashion.
3. When you get a quest, the way the name of it fades onscreen, with the rumbly sound effect and blocky yellow font and everything. I know it's a trivial detail, but it's just so awesome and slick. Whoever's responsible for that bit of graphic design, I officially owe you a beer.
One thing I don't like about Fallout 3:
1. As feared, it's trashed my productivity this month. For that reason I shouldn't have bought it. Damn, I wish I had any kind of self-discipline.