Playing Fallout 3 at level 30 since the very start is great. Contrary to what
@Einhanderc7 said, Fallout 3 does not have scaled enemy health but instead scales the enemies you encounter based on level and by increasing difficulty you also increase their damage resistance while increasing the damage they do to you. It's the same system Oblivion used.
Since Fallout 3 is more about having the right weapons instead of how high your stats are starting at max level + Very Hard difficulty makes for a very interesting playthrough, especially in the first few dozen hours.
I play the rest of the series at the hardest difficulties as well. Playing New Vegas's DLCs at max level without high end equipment is both awesome and horrifying.