I have played the boxed version of Fallout 3 without expansions at the beginning of 2009.
Now I have bought the GOTY on Steam and I would like to known if it is possible import my old savegames.
That's exactly the situation I was in. Yes, you can use Fallout 3 savegames (boxed) with Fallout 3 GOTY (steam) (if you had any mods installed in your original install, it will tell you "Some features of this savegame are no longer available. These features will be disabled." - my savegames still worked perfectly though)
I had to move the save files to a slightly different location, though. My original saves were stored in
(The XP-equivalent of that would be
My new saves were stored in (and thus my old saves had to be moved to):
I would recommend installing and starting the new copy and, if it doesn't recognize your old saves, create a new game and save it real quick to let it create the save-directory, then move your save files to the new directory.
They use the same folder and are compatible, even if they use different dlc's or similar. However, save-locations will be different whether you are logged in to Games for Windows live or not so make sure you use the same profile (if you did in your old game). If you do change profiles you can always copy the files to the "current" save directory and they will still work.
According to some articles, the save games are stored here for both the Seam and non-steam versions of the game: My Documents/My Games/Fallout3/Saves
A quick glance on my box confirms my Steam F3 GOTY saves are there.
You may only need to install the game (but I'd back them up elsewhere first).