San andreas for overall fun;
Vice City for best storyline/atmosphere;
GTA4 for best replayabilty factoy, the attention to detail STILL amazes me, also some of the best game physics to date imo, perhaps bar farcrysis.
GTA3, for single handedly revolutionising gaming.
And last but not least, GTA1 (and to a lesser extent gta2) for getting me hooked when i was just a wee laddie!
In summary, there isn't a bad one.
What makes me love the GTA series is the dynamic range it offers throughout different time periods, genres (from Scarface to Boys'n'the hood to The Sopranos, ...).
That says GTA4 needs some Krishnas.