Operation Anchorage: Kinda short but is mildly entertaining. They made it too easy however as you come across
loads of health regen and ammo replenishment pods.
The biggest advantage is the massive amount of XP you can get. I have read on the Fallout3 wikia that if you do this DLC from level 1 you can be level 7 by the time you are done. However, you also get loads of weapons at the end, plus the best armour in the game. It is the Winterized Power Armour and it never gets damaged.
Broken Steel: This increases the level cap to 30 [from 20] and allows you to continue playing after you have finished the final quest. It also adds some more quests but none are particularly difficult [you are pretty much a beast by the time you have done the main quest!
]. There are new levels and perks which horribly break the balance of the game. By the time I was 25 absolutely nothing in the game could come close to killing me bar huge numbers. I believe it is this DLC that introduces the Enclave Hellfire Armour. Very strong, but I still prefer the Winterized stuff.
Point Lookout: Kinda boring. It is quite a large new area but the locations are usually huts with a few crap enemies and some stimpaks. Fun if you like killing hillbillies and rednecks. This introduces the double-barrel shotgun, lever-action rifle and microwave emitter gun. There is a questline to follow, but it wasn't all that interesting to me.
Mothership Zeta: A bit of an odd one this, but mildly entertaining. It did get a touch boring just before the end. You get access to a bunch of different alien weapons - a rifle, a pistol and also a drone cannon. There are also a couple of "unique" versions of these too. You can return to the ship once you have finished the quest.
The Pitt: I quite liked this one. It vaguely reminded me of cheesy 80s post-apocalyptic action movies. Though I think they could have made it spectacular if they put more work into it. It had the makings of a great DLC, but it feels rushed in places. I think they were going for the whole morally iffy decision making, but unfortunately most of the big choices aren't that bad.
I am not sure if this one adds any new weapons but there is some unique Power Armour to be had, but only if you choose to kill the boss guy. There is access to an ammo press - it lets you convert one type of ammo to another [conventional bullets only]. Pretty handy if you are lugging around a few hundred rounds of minigun ammo or something you never use.
All in all the DLCs do add to the game, but I feel you should do them before you get much beyond level 10 - otherwise I think they'll all be too easy as I found them.
As for the Games for Windows Live, I was around level 20 before I realised my GWL wasn't logging in. I remedied that and my saves didn't vanish nor did I have to move them elsewhere to continue where I left off. Not sure about what happens when adding DLC, but that shouldn't break your saves - the whole point is to add content, not make you start over.
