First stop, Point Lookout. Beware the inbreds, the crazy cultists, and irradiated swamp land.
To get there, you'll have to find the ferry just across the river mouth from Rivet City. It'll cost you a few caps to buy a ticket to get there so you may want to be prepared to make the most of your trip. Particularly, you're going to want to bring as much ammo and weapons for repair as you can because you will be shooting a lot.
The crazed enemies of Point Lookout are perhaps the toughest enemies in the game aside from the Super Mutant Overlord (if you have Broken Steel) but at least the Super Mutant Overlords only came out with a few regular mutants for back up. Both the Zealots and the hillbillies are tough and come in groups. Even playing on easy, I was chewing through ammo and stimpacks at an alarming rate.
Of course you'll find all sorts of goods, like the double-barrel shotgun and the Punga fruit to help you out. You'll also be able to pick up some new perks that like extra damage to Ghouls or offense and defense bonuses while standing still. And that's not saying anything of the massive area you have to explore.
If you want a size comparison, the area is a good deal larger than the pit and it's all open to you. You don't have a bunch of buildings and walls blocking your way. There's a total of 31 different locations in Point Lookout including a Mansion, Lighthouse, shacks, grottoes, and a swamp area that you may find yourself exploring upside down. Atmosphere wise, the game feels different. It doesn't have the gravelly gray destruction that the Capital Wasteland has. It takes the sad, loneliness of the mainland and replaces it with what feels like a creepy horror movie set in the everglades with crazy inbred hillbillies and psycho cultists chasing after you. And it's actually a nice change considering how depressing the Wasteland could sometimes be.
Point Lookout doesn't really change the gameplay of Fallout 3 so much as taking the game and placing it in a creepier and crazier setting. You'll have to give it your all and your all just might not be enough. But eventually you'll make it through and when you do, you'll find that this might just be the best DLC yet.