Didn't have that exploration feel of F3 and a bunch of other stuff.
I think that this is why most people felt somewhat disappointed. Fallout 3 was for the most part a desolate wasteland. There were very few bastions of civilization, and even the few that existed gave off the impression that they weren't terribly safe. Megaton, was a completely fenced-in; Rivet City, was isolated from the world by a draw-bridge; Tenpenny Tower was also gated; Big Town was dangerously susceptible to attack and had quests related to just how unsafe it was; Arefu had a similar theme.
Contrast this with New Vegas where towns were wide open and plentiful. They had problems, but there wasn't a feel of dread and insecurity. The NCR was in close proximity, making trade and protection easy to come by. Most of the roads were patrolled and fairly safe to travel. New Vegas was a bastion of civilization, providing a much larger sense of security than anything in the capitol wasteland ever could.
The two worlds in which the game takes place are as different as night and day. While I do think that Fallout 3's desolate wasteland was a lot more interesting, and fun to explore, I don't feel as though New Vegas was disappointing and honestly feel that the game is an improvement on FO3. The story and characters were significantly more interesting and I didn't feel as though I was being forced into a story I couldn't be brought to care about. Most of my time in FO3 was spent ignoring the main quest line, where as with New Vegas I was much more interested in the different factions, their motivations, and how they were attempting to influence the smaller factions and vie for their favor.