Nah, save Lonesome Road for last. It ties up everything nicely.
Nah. Old World Blues does a better job at tying everything up. You discover the origins of Sierra Madre hotel technology, how Elijah obtained the explosive collars, how Christine and the second courier met complete with her original voice. Plus it's epilogue gives your Courier an ending that extends beyond the ending of the actual game, where as Lonesome Road's ending is only there as a set up. And unlike the Lonesome Road, Old World Blues is VERY non-linear so you get a lot more bang for your buck.
Plus, the final confrontation with Ulysses is probably the biggest cop out in the whole Fallout series. Not only are his motivations completely asinine, but his character model is a freaking joke. The developers actually made Ulysses' head a mask worn by a normal NPC character and tried to cover up the laziness by putting a cheap looking gas mask over his mouth since a mask cannot be animated. It's pitiful. Now contrast that with Old World Blues, where you have one of the best finales in any Fallout game period. You're lead to believe that you must stop the evil Mobius, but it turns out not everything is at it seems. In fact, the next confrontation after that IS ALSO not the last thing you have to deal with. The grand finale that ends the DLC is such a riot that I dare say makes the whole entire game worth getting just to play this DLC. And all three of these confrontations can end in so many different ways too.
And on one final note, the ONLY good thing to come out of Lonesome Road was this beauty. That's it.