I've tried Fallout 1 (played it through) and 2 (just started and frotzed around the village a bit), on Vista Ultimate Edition 64-bit.
Got both to run with only minor glitches (very likely no more than on Win95), by:
(1) Run installer with Admin privileges in Win95 compatibility mode
(2) Run the game executable in Win95 compatibility mode (normal privileges)
Problems encountered:
(1) Occasional graphics glitch where the screen goes momentarily black and stuff reappears when it gets redrawn (e.g. screen scrolls or cursor trails).
Workaround: move the mouse to find a button to bring up the character sheet, pop it up and hide it.
Severity: Not very. It's not *that* frequent and easily worked around. Haven't seen it in FO2 (but haven't played FO2 very far yet).
(2) Color palette is scrambled (rainbow pixels) on startup.
Workaround: quit and start again.
Severity: trivial. It's infrequent and easily worked around.
Other than that, both run completely stably with all features enabled (including sound, which I had trouble with on WinXP).
I'll add another one: KOTOR II. That won't run out of the box (CTD on startup), but it will if you replace the Miles sound system DLL file in its home directory with a different version. If anyone's interested, I can look up the exact details.
Thus far, Vista has been able to run almost everything I've thrown at it. The only two exceptions that spring to mind are a stress-test tool I installed out of curiosity (it just locked up and did nothing) and a hack I tried to get centering force on my force feedback joystick on X3: Reunion. Both were very low-level programs that access hardware pretty much directly, so I wasn't too surprised.
I'm very impressed with the backwards compatibility. It's a far cry from the "can't run lots of stuff" that some people make it.