The only one I've done so far after buying the GOTY off of Steam was Point Lookout, and it kicked my ass... I think I started it at around level 17 and finished it at level 20.
I'd go through like 15 stimpacks per Ghoul Reaver... wtf. I wish I had brought my ghoul mask or my dart gun to slow them down or... something.
Actually that DLC scared me off of doing any of the other DLC until I cleared all the normal wasteland stuff. It's good to hear that I can do the other three whenever I feel like it. Broken Steel as I understand it isn't available to play until you finish the main quest, but as others say make sure to have it loaded in the launcer (if you're playing on PC) so that you get the level cap benefit.
I am really loving this game, though, now that I got my technical issues sorted out.