GTAIII it is for me. I remember seeing it in GamesMaster before it was out, and after seeing the 98% score I knew I had to play it. Luckily for me I was after a PS2 for christmas so GTAIII was on the cards
Great game. The start of great things to come. I loved pretty much everything about it, heck I still play it on the 360 sometimes. Nicking a Banshee from that car lot and just driving about at high speed is great fun. Hidden packages, cheat codes to spawn tanks

. I prefer the soundtrack too, 60/80s, very similar looks and sound wise to Scarface which was probably one of their desing influences.
Sold my PS2 before the Vice City come out so I haven't played it much. Got it though so I'm sure I will complete it some day.
San An offered a lot more than GTAIII but I still prefer where it all started in Liberty City.
GTAIV awesome also, the graphics are fantastic, new gameplay elements have really taken the game foward. Cover mechanics, realistic driving, improved combat, great weather system. Back to the old GTAIII style which I liked, but not everyone did. Everyone expected it to be like San An, but if they checked any previews/reviews they'd have known what to expect.
GTAIV is a good indication of what's to come in the future for GTA, and I for one can't wait to see after playing that great game.