It's a really weird game for me to talk about because in all honesty it's not very fun to play. The mechanics are stiff, everything from driving to shooting to walking, and the social system sound like a great idea on paper but you end up having to sink way too much time into it. If you're just looking for something to PLAY, look somewhere else.
And yet it's still one of my favorite games of all time.
The storytelling is in a class all it's own. The writing is strong, frequently jumping back and forth between hilariously ridiculous and appropriately dramatic and doing both excellently. The characters are all unique and fascinating to watch play out their lives, and the superb voice-acting gives them all an air of believability and humanity.
On top of that, Liberty City is incredibly detailed for such a large location, and with no loading screens and few borders it ends up feeling like one of the most convincing locations ever featured in a game.
So if you're just looking for a good time, I'd say try Saint's Row 2. It's way crazier. But if you're after a deeper, more atmospheric experience, GTA IV is probably one of the best titles you're going to find.