Some weapons work better outside of VATS, most heavy weapons, and all mele weapons, because they consume too many action points. VATS is mostly for sneak shots and splattering heads over the ground, said sneak shots are vastly overpowered compared to anything else.
It is NOT go anywhere any time though. The largest urban area has faulty maps and boulders blocking your path, you will be lucky just to guess the right path for your quest, much less go to a station you know where is, but haven't discovered.