The only same character/direct sequel that I can recall working well for me was BG2--and that carried over limited stat info and gear related to the PC, nothing concerning the status of NPCs. I see promises of what you do in one game affecting future games as one of those things that sounds good, but ends up being frustrating for all involved. Fans are inevitably disappointed by lapses in continuity between their personal canon and the sequel. Because it's impractical to develop a different game for every possible world state, choices in the first game tend to be circumscribed or tangential to the events of the sequel.
I'd much rather have a new game not burdened by the sorts of expectations invited when a game is characterized as a direct sequel.
That's why I suggested an indirect sequel where your character is not in fact the Courier, but someone else who happened into the Courier's territory. Like I said, they could do it fairly easily. All of the companions went their separate ways one way or the other by the end of the game, so there'd be no need for concern with them. And the Courier's faction choice could affect the vibe of Vegas years later, but in the end, the Courier could and would be in control. Independent is a given, General Oliver or President Kimball of NCR could easily have placed the Courier in charge of the Mojave given his/her service, familiarity with the land, its customs, and peoples, same goes for Caesar. House would likely allow the Courier the same benefit, having essentially done the same with Benny before.
So it would be a new character with the Courier being this kind of unseen deity of the Mojave that essentially keeps things in order for one faction or another.
More realistically was my earlier suggestion that a large DLC be released for the next Obsidian Fallout where the protagonist ventures to New Vegas years down the line and experiences the Courier's brand of leadership in one way or another, allowing you to make some key choices at the start of the DLC regarding the Courier's past and decisions. That way we'd still get the taste without it spoiling our appetites.
I haven't finished Fallout: New Vegas so I am careful when reading threads like this (don't want spoilers).
Idea/Inspired by thread: Fallout: Post-Apocalypse Online
If you live in, let's say New York, you'd start off in New York. If you live in France, you'd start off in France.
Yeah, maybe in some couple of 100's?
I am against both the idea of Fallout leaving the USA for any reason, and against any possibility of a Fallout MMO. You can't sew these kinds of stories into a mass multiplayer, it just doesn't work. Fallout is a highly personal series for each player; that was the point when they made it, and that is how people tend to see it. Same goes for the Elder Scrolls, ES Online won't kill the series, but the game will die quite quickly.
Mass Effect on the other hand could work despite how personal the story was. Given the immensity of the galaxy, it would be easily doable. Problem is, no game has successfully managed a transition from single player to MMO other than Warcraft... and lets be honest, those games never had personal flair to begin with.