I thought one of GTA IV's biggest faults was that it didn't reward you for completing a lot of the side missions and even the main missions. You earned money which was useful to a degree, but when we look at III/VC/SA there were a lot more rewards or upgrades to be earned.
Examples: In GTA IV, get all the packages (pidgeons) and you get no reward, same with the uniques jumps or Stevie's car collections. Even completing the story doesn't unlock much beyond the map and safehouses. The one thing you do get is acheivements or trophies but these aren't in game rewards. The most notable in game rewards are the friend perks, but like you said Slim, they aren't that great.
In the III era games it was nice to get weapon pick ups at your safehouses, increased max health/armour. Infinite sprint, fire proof and unique vehicles are more rewards which would have been nice though I realise some of these may not have been suitable for GTA IV.
In The Lost & Damned and The Ballad Of Gay Tony they did start to bring some of this back with weapon pick ups at safe houses and unique vehicles parked at certain locations. Also the ability to get vehicles delivered to you is cool and the ability to expand the list of options to include better vehicles is a nice touch, something small I'd like to see expanded a bit more.