I haven't played most of the GTA games but from the ones I did San Andreas would be the one with the best story, I'm maybe the only guy who beat this game several times solely because it.

I'm not sure what kind of story GTA II has, I'm not sure if it has one in the first place (it's been a while since I've played it) but I liked the multiple choices the game always gave you and you never really needed to follow any straight path, storywise also.