See the Obsidian team talk about the story of Fallout: New Vegas, which starts off with you being shot in the head and dumped in a shallow grave. Then things get nasty.
As Obsidian's president and CEO Feargus Urguhart puts it, "What is more iconic when you think of crazy things that you could do in the West" than Las Vegas? I wouldn't know. The closest I've gotten to Vegas was one of the small border casino towns on the border of Nevada and Arizona, and the craziest thing I did there was buy a watch from The Watch Man that died within two days.
I'm pretty sure Fallout: New Vegas will be a little more exciting.