I haven't downloaded too many mods yet. I usually play through the game once under vanilla settings and then go back and mod it up heavily for extra fun when I play through as a bad guy. I did download a mod that changed the explore music to the soundtrack from the Good, the Bad, and the Ugly (Had one similar for Fallout 3). It doesn't change the radio at all, just the regular outside roaming music. Fallout definitly has a spaghetti western feel at times, so it really fits. Unfortunately the mod got removed because of copywrite junk, good thing I got it when I did :)
Whats the coolest thing you guys have found yet, or most entertaining encounter? So far running into No-Bark Noonan in Novac has been the most entertaining part of the game, his dialog options are great. I was hoping they would do more with his character, but fortunately he gets some extra dialog later for a sidequest and makes a cameo on New Vegas Radio. Lilly in Jacobstown is somewhat amusing too.