I think all the running I've seen has looked a bit... off, as if the animation is playing too slowly. Could be a movement penalty, I guess, but I'm not so sure considering every other video I've seen has shown rather slow-looking animations. Otherwise I'd say it looks quite natural.
"Foot locking" was seen in Fallout 3 to some degree (watch NPCs walk up a hill or some stairs) but it wasn't used to good effect; could be an engine issue, or animation limitations, or just lack of time for Obsidian to make major engine changes like that.
The lack of diagonal running animations has to do with engine limitations. As I understand it the engine is hard-coded to allow for characters to have a certain number of animations each for every type of action; the only way you can get new animations is to replace existing ones. Obsidian should have access to the game's source, but as I said, they probably don't have the time to make what could be very large changes to the engine when they have so much content to produce. To be honest, though, it's not a big deal outside of the player character him/herself, since the AI never moves diagonally.