If anyone's interested, here's a list of the mods that I use. I didn't want to change the entire game using this. What I'm using are mostly smaller tweaks. I'm using one big balance mod, though, "Welcome To The Wasteland":
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Welcome To The Wasteland: Made by the developer of "Better Pacing Mod" (or "A Better Pace"), it includes that, to make you level up more slowly, so you don't reach the maximum level halfway through the game if you are an explorer-type, and adds a lot more to make the game more challenging, but not necessarily harder. Stimpaks are more expensive and useful, so food becomes more important for general healing and thus the radiation from the food has to be taken into account a lot more. Also your own skills are more important, as the skill bonuses from armor has been decreased and for example strength now plays a bigger role in determining the weight limit just like agility is now more important for the amount of Action Points you have. Another major change is the amount of ammo and skill books you can find, so you won't be overwhelmed by those. There are a lot more changes but I am liking them all a lot. I am playing on hard and the game has not really become "hard", but I'm sure it is more fun than it would be without the mod.
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DarNified UI F3: This makes most menus like the Pipboy-inventory, the barter screen and dialogue menu a lot more suitable to the PC version, thus mostly smaller and better arranged. You don't have to scroll so much and for example the condition, raditation and effects in the "Status" menu have been merged. The new font for the HUD takes some getting used to, but apart from that I can highly recommend this, even though it is still not finished.
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PipWare UI (onlyScrollVert): The "onlyScrollVert" file of this mod simply makes the scroll bars in menus a lot more useful, as you don't have to perfectly click on the few pixels wide scroll bars anymore.
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Shoulder Cam: Moves the third-person camera closer to the character and places it a little higher. In my opinion it makes the third-person view a lot more comfortable to use.
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Enhanced Night Sky: Changes the starry sky to a highly more detailed and interesting one, making the night a bit of a sight to behold.
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Remove Compass POI Markers: Removes the "Point of Interest" markers on the compass, so you don't know beforehand if what you're going to explore is an interesting location or not. It also removes the personal and the quest markers, though, but navigation still works fine using the compass alone. Doesn't change anything about the markers for friendly and enemy NPCs.
I've been using the mods, especially WttW, since the beginning of my first playthrough, I am now about 23 hours into the game, level 6 and greatly enjoying it. I think I've heard of most interesting mods which are out for Fallout 3 at the moment, but I am deliberately only using the ones mentioned above and wouldn't want to miss any of them :)