Going straight to the DLC when you buy it.

[DHXIII]

My brother does that, In Fallout 3 he headed straight to Mothership Zeta; This off-course meant he had ridiculously overpowered guns for the whole game. For me personally that would ruin it, However, he loved being hilariously overpowered.

I like my games to be progressively difficult so that they start at a decent difficulty but become difficult by the end. For me difficulty has a lot to do with immersion - If a game is too easy or hard I will not enjoy it (There are exceptions to this rule).

However, If you are playing a game without the desire to be challenged I would definitely go to the DLC at the first possible point as it seems that most DLC's exist simply to give the player the 'best' or overpowered equipment, Although I found all Oblivion expansions to be great fun regardless same applies for Fallout 3 (Aside from the one that it becomes a different genre of game...)