To my mind, the game has to start with the genre - and I think GTA is very definitely noir. Not hard-boiled detective fiction, but actual noir. It's a genre about the desperate, the destitute and the losers; the people who are in danger of being left behind by the world but who cannot get out of their own way (to the point where it's almost a compulsion). Look at the recent run of protagonists: Tommy is the only man of honour in a den of thieves; CJ is a victim of circumstance and someone else's agenda; Niko is in denial about his true nature; and Michael is the architect of his own misery. All of them are their own worst enemy. In terms of the setting, the series functions as a kind of social commentary. The primary themes of the narrative go hand in hand with the main characters' nature, but always allude to the broader social context. So it doesn't matter where it is set, so long as it taps into a current issue.