The world isn't very immersive, you can't let go when everything seems so artificial as it does in a Bethesda game.
Most chalk it up to unsettling facial animations, but animations all around and the placement of buildings and other such objects, makes the world feel like a game, like the point of fighting is levelling up, the point of entering a building is to either shoot or talk and that for a sandbox, everything has a rather linear path.
I'm going to enter a building, I will now either shoot or talk to someone.
True, you do this in most RPGs, but in Fallout 3, it just seems to stand out more, like you couldn't think of this place and these people living outside of being designed for your character to interact with.