San Andreas had the best plot in my opinion. The game play was purely superb, as were the missions, and it's variety of miscellaneous activities to do in the game was massive.

I played Vice city first, then GTA 4 after San Andreas, and GTA 4 really had a great plot as well. The missions also had a lot exciting and difficult moments, but afterwards their just wasn’t much to do. I guess I can be a Nazi on replay value