I tend to deliberately go out exploring/questing on relatively minimal supplies, leaving everything else at the homebase in Sanctuary Hills. Like, take what seems reasonable for why I'm venturing out. So I have a set weapon loadout that I can conceive wearing (Pistol on one side, melee on other, combat shotgun or combat rifle on back at waist, sniper rifle on back over shoulder), and with limited chem supplies (usually a few stimpacks, a Rad-X (but never Radaway), and a hit of jet and a hit of med-x).
Couple that with survival difficulty seems to keep some challenge. Most enemies can still wreck me if caught unaware (Level 20 and I've still died to Bloatflies!).
Personally I think the Open World RPG plot should take more queues from Morrowind's opening. None of that cinematic crap, it just went "Here's some money and a dagger, if you want to Main Quest go talk to this guy" and when you talked to him he was just all "No seriously you're still level one, go explore the world for a bit!". More Open World games should do that, have discrete "Go immerse yourself in the world, come back when you're ready" points in the Main Quest to encourage you to explore.
Fallout 1 and 2 had similar "We need to find a thing" plots, but the 'thing' was an actual thing where you didn't really have any solid leads or quest markers to go by, so it would encourage lots of exploration and questing. Fallout 3 and 4 have the problem of the 'thing' being a person to try and force the players to feel a personal connection, but that connection is detrimental to the whole "explore the world" part of the games.