I stopped after GTA3: San Andreas. I originally intended to get GTA4 since the russian mafia sounded like a great theme to run with, but I didn't have any time to play a sandbox game. So I shelved the purchase of GTA4 for a later date. I slowly began to realize, listening to others talk about the game, seeing bits of it played, that it's the same thing, but with a different story. Then all these little GTA games came out, like I think San Adreas got an expansion, then China Town Wars. I became aware that it was the same thing with a different cover. If I wanted more of the same, I could play what I currently had, and try for 100% completion (which I have not).
So, I'm basically done with regular GTA. The same mold is fine for different settings (like Red Dead), and more or less Assassins Creed (which is only loosely GTA-like, in that it's sand box, but it's enough like GTA that I have called it, "ancient GTA, with horses").