In Dead Money, we did it for the survival/horror experience. None of the future DLCs strip gear from a player, although in Honest Hearts, because of the caravan journey you're on (and the distance) you can only carry a certain weight limit (which can be increased with skills and perks).
In both Honest Hearts and Old World Blues, you'll find out fast that you're in a difficult situation and need to finish the adventure once begun - but both adventures take place in an open world free-roaming location (similar to Point Lookout). Once there, you can tackle your objectives in any order or ignore them entirely. After completing the adventures, you can return freely to both locations from the Mojave.
In Old World Blues, it's very, very easy to return anytime you want, and we tried to make it as easy as possible for people to do so.Lonesome Road is a bit different. As the name suggests, it's more a road that leads to an end destination (though not like any road you may have seen before), so it's structured a bit differently - you can travel it, and come back anytime you want. You can also return to it after the adventure is over.