I'm playing through Point Lookout at the moment, and have downloaded all of them.
Whilst I haven't got to the Broken Steel part of the main story yet, the extra levels and perks are coming in handy, and there are some new and fairly menacing new foes to tackle.
I've played through Anchorage and The Pitt so far.
Anchorage is very much more an FPS than the rest of the game as I'm sure you'll know, but the premise is an interesting one, and the rendering of the scenery is stunning - reminiscent of Iko in parts. There's the reward of weapons and armour which make it worth playing through as well.
I found The Pitt far more involving, and very much like the moral decisions that need to be made. In fact, that's what gets me about the game as a whole - following the consequence of actions and decisions. For example, Flak at Rivet City now won't sell me anything because I put a slave collar on him for the Paradise Falls. I set him free again, but he's still holding a grudge - I don't know, there's just no pleasing some people.
Again, the Pitt rewards you with interesting stuff you won't find anywhere else, and it's somewhere you can go back to.
I'm finding Point Lookout to be the most enjoyable so far though. I presently find myself the other side of a shamanic experience that involved strange hallucinations which were really unsettling, and gave an interesting spin on the character's previous history.
The atmosphere of the swamps is beautifully created too - the dampness and humidity is really tangible. It reminds me a lot of a great Belgian film - 'The Ordeal'.
I have found the bugs to be a real irritation though. They've affected me in various ways, from not being able to access Museum Metro station, to not being able to proceeed beyond an invisible wall which seemed to randomly appear in the Wasteland and encompass floating trees, to the more frequent freezes.
They've not entirely spoiled the experience, but as Yeti says, it's not something you expect from a console.
I'd strongly recommend backing up your game data before installing any of the new stuff, so that you've got something to go back to.
Cheers.