If you really wanna explore everything from the get-go, just pack up with stealth boys and go, grab the super mutant companion as well to make em last longer and you're on your way.
Fact is, it'd be boring as hell if every zone was available from the start, most people enjoy a certain amount of challenge and can therefore stick with the zone difficulty from the start. The Oblivion way of leveling everything with you is... okish, but not exactly perfect, because it diminishes the atmosphere from the world...
You know that thing Yahtzee said about why he doesn't like Splinter Cell games? Cause they're made in a way that the world in them practically exists only when Fisher's around? Kinda the same stuff with difficulty and leveling the mobs, if everything just scales with you, than nothing's ever a greater challenge, nothing's ever off-limits and there's no sense or point in leveling because you're just leveling for the sake of it rather than gearing up to go somewhere more important and therefore, more awesome.
On topic, I haven't really explored much... following the main quest for now with some side quest stuff, though I'm having a bit of difficulty seeing the supposed line I'm supposed to move down through. Waiting until I pick up some perks and weapons (mainly the sniper rifle as it's my usual weapon of choice, currently just using a Varmint rifle with a scope and it's nowhere near the same) as right now most of my combat is saving my ass rather than playing my preferred predator style where I'm hunting down the mobs and not the other way around.