I felt like I had to play the first installments before the third to come in the story better and understand the world. Fallout 3 is a really good game in it's own right, though the lack of real Fallout feeling, such as an interesing story and masterful dialogue. The only Fallout related thing Fallout 3 had besides the world and the setting was that it was littered with bugs.
EDIT: Oh, and Fallout 1 (Divine) Fallout 2 (good/very good, hope it grows on me) Fallout 3 (for a ordinary game: Splendid/for a Fallout game: Good. No more, no less)