I'm surprised no one's mentioned this yet:
I hated Niko Bellic. Yes, Rockstar, we know that all the "cool kids" are trying to make their games more realistic, but having a protagonist with genuine remorse kind of ruins the point of GTA. You're supposed to kill people and do atrocious things without having to feel bad about it. It's kind of hard to do that, though, when the protagonist says things like, "I promised myself I wouldn't kill people in this country." Ugh.
One of the main reasons that Vice City was such an amazing game was that they made Tommy Vercetti such a convincing psychopath; the sarcastic, dark comments that he made whenever he killed someone (quite clearly enjoying himself as he did it) were one of the best components of the game. While they scaled back on this in San Andreas, since CJ didn't really seem to enjoy killing that much, they kept the complete lack of remorse so that there was nothing stopping the player from squealing with delight at running over hookers to get your money back even if the protagonist didn't. However, with GTAIV, your character doesn't seem to like what he does, and you either have to (a) avoid identifying with the character or (b) avoid the bloodshed that made the series great in the first place. Either way, you're missing out on a major part of the experience.
I guess this is just a rant on the trend toward "realism" in general. I don't really understand why everything has to be as realistic as possible; just because it's possible with current graphics does not mean that it needs to be done, nor does that mean that the non-graphical elements of the game need to be made realistic. Maybe I'm just not in the target group, but I for one GO OUTSIDE when I want more realism.