Creator's Favorite: Chris Avellone has been open about loving Ulysses, stating he's fascinated by the idea of meeting characters the player has influenced without realizing their impact, and that Ulysses is his Author Avatar for his views on the Fallout universe.
Defictionalization: The collector's edition included chips from the major casinos in the game as well as the Platinum Chip. In a less profitable vein, many fans play Caravan in real life.
Fan Nickname: Some people who hate the Legion refer to them as "cosplayers," in reference to the fact that they're just dressing up as Roman Legionnaires.
Yes, Primm is a real place, and it does have a rollercoaster (attached to the Buffalo Bill hotel — all three hotels in Primm are much larger, but no one really cares), and does have Bonnie and Clyde's death car (not his gun, though, but it does have his jacket, and the car is in a mall attached to the hotels). Hoover Dam, Goodsprings, Black Mountains, Nipton, Nellis Air Force Base, and a lot of other real-world locations are snuck in as well (mostly things only native Nevadans would recognize, like camping sites).
This is also played for a joke with "Repconn" which is a very slightly veiled joke to "PEPCON" an actual factory for rocket fuel that was formerly centered in Henderson Nevada... before it blew up on May 4th, 1988.
Billy Knight, a comedian you recruit for The Tops, is voiced by RobCorddry.
Sweetie and various Viper and Jackal gang members are voiced by Debra Wilson.
Jossed: The Epileptic Tree about Yes Man's "assertiveness" upgrade being meant to set him up as The Starscream. Word of God says that Yes Man was not foreshadowing a future betrayal. Quite the opposite, it was him being Genre Savvy and working to prevent himself from being turned against you in the next round of musical chairs.
The Other Darrin: Christine from Dead Money has a speaking cameo in Old World Blues, where she has a different voice. Justified, however, in that it's not actually her voice she's using in Dead Money, but rather that of the long-dead Vera Keyes.
Consequently, there is also some from Oblivion, since Fallout 3 recycled some Oblivion props.
Various non-radio music from the series gets reused as well. Besides the reused Fallout 3 various songs from the first two games are used at different points i.e. the Shady Sands theme from Fallout 1 in the Old Mormon Fort or the Redding theme from Fallout 2 playing when you encounter the Wrecked Highwayman among plenty of others.
The DLC is based around this. Originally it was going to be another partner named Ulysses, having been part of Caesar's Legion. He was removed from the main game, but was expanded to being hinted in the first DLC and then becoming a major character in Lonesome Road.
Fallout: Van Buren was canceled, but some minor plot elements and Caesar's Legion were incorporated into New Vegas. The DLC took even more inspiration from Van Buren, particularly Old World Blues and Lonesome Road.
Saved from Development Hell: Caesar's Legion was going to be part of the stillborn Van Buren game following Fallout 2. Some NPCs from Van Buren were also recycled and given slightly different roles (Alice McLafferty and Arcade Gannon for example). The setting of Old World Blues, the Big Empty, came from the original design concepts of Van Buren's opening location, the Tibbets prison facility.
Take That, Audience!: Due to a pissing match between J.E. Sawyer and Chris Avellone over their individual and conflicting Word of God statements, their arguments have taken a turn into insulting the fanbase. Avellone has been deliberately trolling fans who support the NCR, saying that if the support for the NCR outweighs any other faction, then he will have them erased from the future games, and considers those who like the NCR as "idiots", while Sawyer has spread his arguments to the fans, as he pitched a fit over an argument with Avellone about super mutants and declared their existence as non-canon just to spite him.
Talking to Himself: Pretty much inevitable in a game where all dialogue is voiced, and there is a huge cast of generic NPCs. It becomes especially noticeable, however, when the actor in question has a distinctive "neutral" voice. Take the four male Remnants, for example, as three of them are voiced by Peter Renaday.
Romances were considered, but scrapped early on in development. A remnant of this can be found by looking at the available companions: of the four human companions, there's two men and two women, and one each of the men and women are homosexuals, so hypothetically speaking, a player character of any gender or orientation would have someone to pursue.
There were early plans to extend the game beyond the final battle, but the amount of variables (ie, programming a Mojave with the victory of four possible factions and numerous minor details) made it too impossible to program within the deadline.
Ulysses, the antagonist of Lonesome Road, was originally intended to be a companion in the main game, but was cut due to time constraints. He would have been unique among the available companions as actually being sympathetic to the Legion and especially untrusting of the NCR. Much of that personality remains in his Lonesome Road appearance, but if he'd been in the main game as originally intended, there might've been motivation to actually work with the Legion. As it stands, you can earn a pair of Luck-boosting sunglasses...but you lose the loyalty of CraigBoone and ArcadeGannon, and you'll likely end up killing at least a few factions/settlements that you actually liked. Of course, Ulysses could be persuaded to reluctantly serve the bear or another cause and will tell you about the battle of Hoover Dam.
Similarly, Word of God also states that there were originally more Legion territories planned east of the Colorado River, but they were cut due to time constraints.
Originally, if you destroy the Securitrons under the Fort, you were originally going to be forced to fight a seriously pissed off Victor the next time you enter the Lucky 38.
Many instances of cut content (including the example directly above), have since been released in a mod series appropriately titled "New Vegas Uncut".
"Caesar can quote Cato to his purpose" is a paraphrase of a line from The Merchant of Venice: "The Devil can cite Scripture to his purpose." (Though Shakespeare is pithily reflecting much older wisdom.)
"Am I playing Vergil to your Dante?": The Divine Comedy, where Vergil serves as Dante's guide through Hell.
"Victrix causa diis placuit sed victa Catoni." is from Pharsalia by Lucan. Translated it is simply: "the winning cause pleased the gods, but the losing cause pleased Cato." Considering its context, it fits very well.