Fallout New Vegas: Kind of want, but also have my reservations due to the setting. Heard good things about New Vegas... I have quite a few obsidian games on here.
Get it foo'!
If you're worried about it being like Fallout 3, worry not, they're not at all similar. FO3 was meant to be explored (literally, as in the physical world itself), Fallout New Vegas is intended to have lore, characters, factions etc that you can interact with and different endings and outcomes (actual consequences!), and the world reacts to your characters and actions. The two may have the same engine and graphics, but their priorities couldn't be any more different.
If you're worried about not being able to explore in Vegas, then I dunno what to tell you. You CAN, just not to the extent of the average Bethesda game, but I wouldn't exactly call map exploration a cornerstone of a good RPG. Here, you explore different ways to solve quests, different weapons (with different characters, as the "best" weapon is highly subjective and dependent on your character), different combinations of actions etc etc.
And if you have something against it being in a desert and/or a post apocalyptic world, again, I dunno what to tell you. I've never found the setting of a game THAT important as long as the gameplay and story were great, and they are. On that note though, New Vegas doesn't feel as post-apocalyptic as you'd expect. If you're comparing it to Fallout 3, no, you aren't randomly jumped by raiders or a random mutated creature every few feet. Infact, much of the world has become civilized, your battles being fought against those nations that have ideals different than your own.
(note that New Vegas does have the same violence and gore. There's much less fighting overall than in Fallout 3 (plenty of pacifist options available whenever humans are involved in the conflict), but the dismembered body parts are a basic feature of the Fallout series. If you get it for PC, there might be a mod to fix it though. I have the German version which is censored, so humans and human-like creatures are impossible to dismember in any way)