Are any of the GTA games connected?
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Same universe and some reoccuring characters thats about it.
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The whole GTA III era (III, Vice City, San Andreas, Advance, LCS, VCS) is connected in some way or another. A lot of the characters from the series appear in multiple games, and they also share a lot of the same vehicles, businesses etc. The two Stories games and Advance are actually direct prequels of III and Vice City, showing what happened in those cities in the years before the original games were set.
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GTA2, Chinatown Wars, and GTA IV are also connected in a "You? Me? Them?"-kinda way (quoting Return Of The Living Dead 2)...since some of the character names are the same as those appearing in the games already mentioned. Tho to be fair, whether they are actually intended to BE the same characters in these other games is open for debate. The radio in GTA3 also mentions Carcer City and the character "Gary Shaver"...so the Manhunt series is also directly part of GTA3 storyline continuity.