Well first of all grab the Nexus Mod Manager and the New Vegas Script Extender to make most mods work and to make modding in general a lot easier.
I'd probably start with some of the popular mods, like using Project Nevada.
Adds some tweaks (that can be disabled freely using the menu included in-game) and gives you a bigger stock of weapons to play with, plus letting you make the custom weapons from Fallout 3. Higher-tier helmets even come with custom night-vision and infrared vision.
Although really you should just take a browse around the New Vegas Nexus and she what you might like.
Oh yeah, if you hate that green/orange tint in either FO3 or New Vegas, grab Fellout so you can remove it. And maybe Electro-City if you want some more electric lights out in the wasteland. (do mind that this makes the nights quite a bit darker)