At the very beginning? Talking to Doc Mitchell and Victor to learn as much as I can, then venturing out into Goodsprings to get buddy buddy with Sunny Smiles and do her quest, get dynamite from Easy Pete, and see if there's anything else I can do around town before rounding up a posse to take out the Powder Gangers.
After that? Venturing out into the wasteland, looking for explosives to craft, people to talk to, and Veronica to recruit.