If I had to pick
Vice City - A perfect game - characters, music, look, tone, missions, size, city, sense of fun, difficulty etc
GTAIV - An amazing achievement, a beautiful game, big fan of the (slightly) more mature tone and storytelling, the only game in the series to have a decent control system ie. the cover and lock on mechanics, the only game where the cars and weapons feel like they have 'weight' to them and each feels different, the city is amazing and actually feels alive.
GTAIII - Still a lot fun
San Andreas - Trys too hard to be everything and ends up failing because of it, pointlessly large empty environments that are barely used, none of cities have enough time or space to develop a personality, the RPG elements are incredibly shit and amateurishly implemented, maddening draw distance makes flying a pain. It probably would have been a lot better if they'd waited and built for the next gen systems. Hmm, it sounds like I hate it but it I remember having a lot of fun with it as well.