I remember that in Fallout 3, when you finished the main quest, you could no longer keep playing, unless you had one of the DLCs. Is the same true for New Vegas? I might keep off finishing it until I did all the side quests first then.
There is a clearly delineated "Point of No Return", whereby setting out upon the final quest requires you to explicitly tell an NPC that you'd like to do so, from which point you can no longer explore the Wasteland, and once completed, the game has an ending, from which point, you can't continue playing. While this point is fairly obviously telegraphed, if you happen to not see it coming, the final quest involves returning to the Hoover Dam, after completing quests involving President Kimball.