Well, I'm a huge fan of the GTA series (from 3 onwards, mind you), and picking my favourite is tough. Strangely, I often think of 3 as being the best in the series, but that might be nostalgia kicking in - it was simply an amazing gaming experience; freedom like that simply didn't exist prior to 3, and I often found that the many glitches found throughout the game (such as the "hidden city" behind Shoreside Vale) gave the game a lot of exploration potential. And once you mastered flying the dodo, well.... that was a whole different story.
Still, I voted San Andreas - I personally enjoyed the story, and the numerous narratives which spun off from CJ's main "quest"; my personal favourite would have to be Toreno's side missions, and the entire "government conspiracy" idea that went along with those. Plus, James Woods voiced Toreno - that is freaking cool. However, the story in IV was fantastic as well, but SA still wins out for retaining that easy-going, almost cartoonish approach to the life of crime which your character embraces. Yes, you're murdering people, but it all feels so charmingly light-hearted. Vice City was excellent at that as well, and I really loved how colourful everything was in VC.
So yeah, there's something to love about all the GTAs. They're all fantastic games which I can go back to at literally anytime and have a lot of fun.