I never play Caravan, the few times I've tried, I've only ended up wasting money. Although I have tried Roulette in the past, I also stopped playing it when I started to notice that other gambling options were just much more profitable.
And although I've yet to complete the game on any route yet, I doubt I'll ever survive with the Legion, I just don't like them and can't see any of my character's siding with them, I can think of convincing justifications for the other possible paths, but I simply can't sympathize with Caesar's Legion. I also haven't chosen the Powder Ganger solution to that quest in Goodsprings.
I've still never used a poison on a weapon, or the NCR radio.
I've only rarely used the Mojave drop boxes, though I could see them having limited usage if I decided to play without companions.
I've never chosen the Lady Killer or Black Widow perks, so far, or their same six counterparts.
I've never once used Swift Learner or Here and Now, not just in New Vegas, but not in Fallout 3 either. Both perks seem completely worthless to me, Swift Learner MIGHT have been worth choosing if the level cap were higher and it wasn't so easy to reach it well before the end of the game, but Here and Now is just a great way to waste one chance to choose a perk.
I've never used hardcoe mode, and probably never will, I like the sound of some of the features of it, mainly the changes to stimpaks and healing as they would potentially make the game more challenging, make doctor's bags actually worth using, and make it so you need a bit more thought to using stimpaks than just spamming them as soon as you need healing. But I don't like needing to deal with the need to eat, drink and sleep in games, and if I am given an option to have them in the game, I don't want to use it.
I've never used any unarmed weapons weaker than the power fist. I've also so far yet to use any of the weapons that were formerly big guns in Fallout 3, except for the flamer, though this could change in the future.
I've never actually used the non-cap currencies in barter, I just exchange them for caps at casinos.
Those are what comes to mind, but I might think of other things later.
You've gotta use the arrow keys. It's the only place in the game the arrow keys are used.
Which seems like a bad design to me, of course it's going to confuse players if one select place requires players to use keys that are otherwise not needed. The in-game information about how to play it also seemed kind of vague to me, overall, the way Caravan is designed strikes me as rather unintuitive, but I blame part of the problem, at least with the setup on the PC version, on the fact that it was primarily designed with the console versions in mind.