There aren't many problems with it. Some of the skills you can choose really don't feel like they make any difference, but there really are countless guns. I haven't seen the same one twice. Its also nice how they all look slightly different and have different firing mechanics and sound according to make and model.
There isn't much in the way of armor or a clothing system other than a recharging energy shield reminiscent of Halo. You can change your color to gain some distinctiveness online, but that's it. Playing with other people is surprisingly fun, but don't expect to be raking in Lo0t. People snatch up chest items before anyone else can and I've witnessed so many bitching matches between idiots over a shitty gun. I suggest playing with a friend or two with different classes so you can democratically divide loot.
If you enjoy Fallout 3, or even COD4, you should really look into Borderlands.