GTAIII - was mindblowing when it came out. Could be argued it hasn't aged as well as it's successors. I've tried going back to it and it quickly gets boring, no planes, helicopters or motorbikes. Dour city setting as well.
Vice City - best in the series
imo. Great setting, soundtrack and characters. I spent 3 months playing it on ps2 and got 100% on it.
San Andreas - I found the story started off well but seemed to fade as the game progressed. Has the best gameplay in the series though. I also got 100% in it, took nearly a year.
Rats correct about the soundtracks.