Storywise, all games have their high's and low's. I think I prefer playing through GTA 3 better, it's a massive nostalgia trip playing it, seeing as Blake and I fell in love with GTA 3 the moment it hit our PS2's. GTA 3 was the game of games when it came out, I think I got more in-game time in that than any other of the games. Vice City kept the GTA feel really well, and was another massive success. San Andreas just lost the GTA feel when it changed the gameplay and story-type.
I'm not prejudice, but San Andreas shouldn't have incorporated the whole black gangster theme. The GTA feel is more mafia-related than anything else really. Don't get me wrong, San Andreas was a good, enjoyable game, but it didn't feel like the other GTA's.
Anyway, I have a sudden urge to get back my copy of GTA 3 and play that through again.