I would do Dead Money third or last followed by Lonesome Road. There's plot points in the other two DLC's that nicely tie up to Dead Money.
Dead Money recommends Level 20+.
Honest Hearts don't recommend any level.
Old World Blues recommends Level 15+.
Lonesome Road doesn't recommend any level.
I would actually disagree with the suggestion of playing them in the release order. I'd recommend three things whatever you do:
1. Play Lonesome Road last. I found it a lot of fun even though the map is very linear, and it's a climactic end to the storyline. By contrast, Honest Hearts ties less into the main storyline and can be played at any point (although don't play it last).
2. Play Old World Blues before Dead Money. There are characters introduced in OWB that will feature in DM and it explains why they're there and what their motivations are.
3. There is some background information available in the Mojave Wasteland related to the DLC storyline that you may want to pick up first. The three that I can think of (specific hints as to their location in following spoiler tag, although I've not given away what it is you find out):
1. Talk to the owner of the Primm branch of Mojave Express
2. Speak to Caesar, head of the Legion
3. Find a character called Veronica, or go to a location called Helios One and speak to some of the key people there
You can, from what I remember, find these three comparatively easily if you follow the main questline for a while.
The order I played: OWB, HH, DM, LR.
If you're looking for a challenge, start OWB at level 15, which is the minimum starting level. It's actually a pretty dangerous area, but if you manage to bring a couple of decent weapons with you and are a thorough explorer, you end up with a fuckton of experience (I put in about 30 hours and left at level 28 after starting at level 15), a really useful homebase, and some decent kit for the rest of the game. In addition, play DM in hardcore mode, it makes getting around a bigger challenge (I'll spare the details, just know it's a hazardous environment).
Edit: Urgh, I keep remembering things. Another thing to bear in mind (and I think you get a warning for this on the message screen at the entrance to the DLC location) is that the new location in Dead Money cannot be returned to once you leave. So when you leave, be sure you've completed all the quests/challenges you can, and take whatever inventory you want to keep with you.
The complete edition also comes with a weapon expansion pack called Gun Runner's Arsenal, and some of the content can only be unlocked with specific perks, so keep an eye out for them. They mainly unlock some new craftable weapons, mostly Explosives.
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