Vice City will always be my favourite GTA game. It's the first one I played and let me tell you, I played THE SHIT out of it! San Andreas was good, but the amount of shit you could/had to do was kind of overwhelming, almost made it RPG-like. III was also good and probably my second favourite. I haven't played enough of GTA IV to give a solid opinion on it.
I love inside jokes, I'd love to be a part of one some day.