In Skyrim right now, I've decided that I will never fast travel on this character, so that quest lines (like the Civil war quest line) don't feel like they were over in an in game day, and to actually see the whole world that Bethesda created.
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I fast travel whenever I can. I didn't as much during my playtrough of New Vegas on Hardcore, as it was harder, but while the exploration is the main draw of the game, I'd rather not have to make the walk back to the Strip every time I do a quest.