OK, surprising bits...
I was playing a character straight out of the vault, and decided to stock up on weapons from the Super-Duper Mart. I got the quest and went off to kill a bunch of Raiders. I got there to find a group of slaves in a gunfight with some other dudes over a fridge full of clean water, while Raiders traded shots with an Enclave Drone and some Wasteland settlers. During all this, that kid from Greyditch ran up to me and asked if I'd help him save his dad. After telling him I hoped he burnt to death like his father, I came out of the conversation as a stray bullet set the car I was standing next to on fire. After running away, I started taking potshots at anything that wasn't me. One of the shots hit the car that had been set on fire, started a chain reaction that got every car in the car park and wiped out everything, leaving me with one dot of health. I went to tell my roommate the whole story, and came back to the game to see a stray dog charging at me - I managed to get the controller and go into VATS as it got close... And missed all four shots. Instant death, hundreds of caps worth of stuff, gone.
Another time I came across a huge pile of bodies, Enclave, Deathclaws and Talon Company. It took me a while to figure it out - I'd been coming up to an ambush point with my good character. The Enclave and Talon Company had both spawned to ambush me and had obviously started fighting, wiping each other out before I even got there. There was a looot of loot, though!
Most of the other cool surprising things have been me turning up in the middle of scripted battles that punctuate the Capitol Wasteland. Damn I love Fallout 3...
EDIT - Ooooh! Another good one! A woman ran up to me, yelled "I HAVE A LIVE GRENADE IN MY POCKET!", ran off and exploded.