For the amount of stuff to do, I'd have to say San Andreas. Jets, cheats galore, customization, unique vehicles, etc. But, going back to the PS2 games after playing 4 feels so archaic. Everything is so much more polished in 4, the car physics and damage, ragdoll, AI, cover system. Not to mention the graphics, obviously its on newer hardware, but even last gen GTA's graphics were obviously behind everything else of the time.
At first, I hated 4. No planes, slow cars, using the shoulder buttons to drive, fewer weapons and basic cheat codes.
But for the biggest wow factor at the time, GTA3 hands down. I remember my cousin letting me play it, before which the closest thing I had played was Driver 2, and man, I never wanted to leave his house! I went out asap and bought it, luckily before all the age limit hoopla from the news, cause I was 15 at the time. Getting Vice City proved to be a bit more difficult, had to ask for that for christmas, and I just knew my parents wouldn't get me it, and low and behold, there it was!
Wait, what were we talking about?