I have experienced the same thing with both FO3 and ES4:Oblivion. (still do with the ES4)
Im assuming you are getting BSOD'd like I did...but FO3 did not seem to like my nVidia drivers at all. I would get nv4_disp.dll errors/BSODs when loading, especially when opening the PipBoy or going through a door, but it also happened when walking around in the middle of nowhere. I fixed this by downgrading my drivers a few steps. (from 190.something to 175.16) Of course this degraded performance a little, (by up to 10 or so FPS) but I could live with it as long as it didn't BSOD anymore
Oblivion does not like my creative sound blaster 5.1 card, either. It will randomly hand out BSODs from the P16X.dll creative driver, whether i am in 5.1 EAX surround or not.
So I would disable the automatic restart function of windows, (assuming XP here) Right click "my computer" and select properties, under the advanced tab select the third settings button and then untick the "automatically restart on system failure" box and try run it again.