Update: I was unfortunately not aware of Shamus Young's severe criticism of Fallout 3 available here to link in the original piece and I regret that. It dovetails rather nicely with what I've written and it's much better executed than my piece. I strongly recommend anyone...
Work out how the gravity affects your jumps in the early stages so you know what to expect later on.
Check the map often in the Adventure mode to see where you've been.
Sometimes it's worth a sacrifice to get to the checkpoint.