As an extension of the OP; while I am really enjoying Skyrim and don't have any real complaints, nothing in this game "scares" me like some things in FO3 and FO:NV did. Maybe it is just the setting, Fantasy vs Post Apocalyptic, that makes the FO stuff seem scarier.
I really enjoy both FO3 and Skyrim.
The atmosphere of FO3 ( haven't played NV, but may when the Ultimate Edition comes out 2-17-12) was a very dark, bleak and dire one. I was jumpy traveling through the metro tunnels even though I'd travelled them many, many times and had cleared them out.
Skyrim by comparison is much more beautiful and uplifting. It still has its dark areas, but overall the sense of doom and gloom is not there the way it is in FO3.
Atmosphere is very important to me in a game. My favorite games all did an excellent job of creating good atmosphere. I think the "Oh Sh*t" moments owe alot to the environment in which they occur.