I enjoy them too - and actually like it when they blend parts of the DLC in the main wasteland / world and part in a new worldspace. That way the quests are all grounded in the main world but lead you somewhere else. I thought that Broken Steel was particularly well-done in this respect.
I am developing my own mod in the same tradition, with initial parts taking the player to areas in the main wasteland, on the strip to find people, etc - only then leading the player off to a new worldspace to complete the adventure. For technical reasons its better this way for modders as we don't have to regenerate LOD for the entire wasteland - which is a requirement on the Fallout3 engine that is best-avoided when possible.
Now that we know DLC's are in the works, we can hope for more epic adventures.