I'm pretty sure you can load your latest savegame and the missions come back. You have to save regulary though.
Been years since I last played any of them, but I'd say you have completed the games, when you finished all missions.
EDIT: Here's a German checklist for GTA 1:
http://de.gta.wikia.com/wiki/100-Prozent-Checkliste_(1)
EDIT2: Here is a list for every GTA except V, Google translator though:
http://translate.google.com/transla...de.gta.wikia.com/wiki/100-Prozent-Checklisten
EDIT3: Forgot about the chapters in GTA1 and that you can only save after you completed one.
GTA2 has the churches to save, it costs 50 grand to do so though.