Throughout the 'Capital Wasteland' you will find many underground locations known commonly as 'Vaults'. These vaults were built before the war by Vault-tec to ensure the Human race would survive the ensueing nuclear war. The Vaults are spread across what was the U.S.A and there are several in Fallout 3, these being: Vault 87, Vault 92, Vault 101, Vault 106, Vault 108 and Vault 112.
The player does not need to enter all the Vaults but some of them are directly involved with the main quests of the storyline so there is no avoiding them. Some Vaults e.g Vault 101 are involved in optional side-quests which can help the player to gain a better view of the Wasteland and gain valuable experience and loot.