GTA3 gave me the best experience out of them all.
It was the first game that I had played that was different from all the others and gave me complete freedom. I'd look at games with those barriers and think, what a shame! Look at that city over there just crying to be explored.
The story, the atmosphere, the gameplay.. I loved it, and it gave me a feeling like no other game has.
Then to top it off, MTA re-introduced GTA3 into the multiplayer world with their version 0.4.1. Most fun times I've ever had on online gaming. The dodo, fighting, exploring...
GTA3 will always be my favorite. F--- SA, GTA3 was a masterpiece.
Vice City is right behind it for me, then IV.