Well, Fallout games aren't exactly known for their horror.
I'd have to agree there. While I could see the Fallout premise having some potential for that. The series never really came off as particularly scary to me, and I don't think this particular installment will be very different. I'd reckon that if you didn't find Fallout 3 scary, New Vegas probably won't scare you either. At least, what I've seen so far doesn't lead me to think Obsidian has been trying to increase the fear factor much, which is something I can live with, as I'm sure even if they tried to make it scary, it wouldn't work as well as a game that focuses on horror, as if it's the main focus from the start, the designers can do a lot more to capture the fear factor.
You should be in more fear roaming the wasteland at a low level since nothing scales to your level out there.
I wouldn't say that would necessarily make it scary, it might give a sense of danger, but that doesn't necessarily mean a sense of fear. Take being shot at by multiple people in a game, for example, this gives a sense of danger because your character might be killed, but is it scary? In that sort of situation, what's on my mind is not fear, but rather how to stay alive. Now, a sense of danger is usually an important part of successfully inspiring fear, as you don't have much reason to be scared if you know that no one involved is in any real danger, but beyond that, it also needs the right atmosphere, and I don't really think this game will have that.