The Burned Man is related to The Legion and might show up in DLC as well. He was supposed to be a partner in the canned version of Fallout 3. Click here if you want the spoilers and details. There's very few references in New Vegas to the other courier. IIRC, one of them is just outside of new vegas to the east between the gun runners and whatever that vault is below the boomers. Basically, he's the "seventh" courier that denied the job that you ended up getting or some shit like that. He was supposed to be a partner in the game but they took him out. Thankfully, because what I've read of his story and what might happen with him in NV (based on the cancelled fallout 3 black isle was working on which shares plenty of elements with NV in the first place) sounds like it would need a lot of work so I'm glad they just cut it so if they end up doing it they can do it properly with DLC. Details for the other courier (dead money spoilers)
Also, the game gets REALLY interesting at that part you quit at. Those "objectives" are really entire missions each in of themselves and really show off why New Vegas is so much better than FO3: your decisions actually matter and you have a million more options to TALK to people. Also, Benny ran off to Caesars camp? Weird. Things went differently for me...