In terms of atmosphere and story: GTAIV by a long mile!
In terms of sheer fun and replayability: San Andreas.
Went with San Andreas because that game took way too much time from me
Also a bit off-topic, but Bully. In my opinion this game beats them all if only for the great story and atmosphere!
Really considering getting a cheap PS2 just to play San Andreas and the old GT4 and 3.