I feel that Fallout 3 is more thought provoking, whilst New Vegas is more fun.
Things in Fallout 3 seem much less black and white then they are in New Vegas(So far, I haven't finished with New Vegas yet), what with the business surrounding the ghouls, or the quest with The Family. New Vegas is better designed in terms of gameplay, but it doesn't seem to take itself as seriously, though I think the factions and companions give a great sense of effecting the world around you.
At it's best, New Vegas had me storming the Legion camp with my friend without the need of a quest of any sort, yet it still felt just as effective as a standard plot point from any other game. The best part was how well the game changed and reacted to my actions.
But in Fallout 3, there was this little conversation I had with the Wasteland Survival Guide chick, I questioned her motives and she said something about the necessity of hope or some other assorted optimism. I replied by saying that you can't change human nature, that got me thinking, is all of this due to human nature?, are we doomed to lock ourselves within viscous cycles of chaos and control for all eternity?. In the end, war never changes. In Fallout: New Vegas, my character is pretty much a monster, he has no regard for the happiness or well being of anyone, all he wants is power, and he uses and manipulates the people around him who call him their friend. He doesn't care, because I don't care, I just want that shiny new gun and a host friendly test subject, because that's all they are. I wasn't that different in Fallout 3, but when It came time to destroy Meagaton, I just couldn't bring myself to snuff out that last little glimmer of hope.
It's the little things about Fallout 3, those tiny unanswered questions that scratch at the back of my mind. Fallout 3 had me caring a lot more about my character, not just because he had a more established backstory, but it gives me much more freedom to express myself as that character because it let's me say those little things that may seem insignificant, but their very presence adds an entirely new lair of depth to the world.
New Vegas entertained me, but Fallout 3 effected the way I look at the very nature of life. To this day, when people ask me "What games do you consider works of high art" I say "Fallout 3".