Although I really enjoyed GTAIV and both expansions. The Lost and the Damned was centered around a more industrial part of town and felt really different somehow. Gay Tony had you all over the place but added APCs with a turret and a better attack helo.
I played IV far more often than the others, and I can always go back and play it anytime. (Not saying I can't with the others, I had a blast with SA recently) But the bottom line for me is the massively improved engine in IV.
So much fun to be had just nudging peds down stairs.
I am looking at you through the eyes of a dead man http://i47.tinypic.com/19a7gw.jpg
I must be one of the few who was actually able to enjoy GTA 4, play it multiple times and see it as a worthy, yet realistically scaled back successor to GTA SA, which was overwhelming at times with all the stuff out there. The physics and driving in GTA 4 were and are still amazing and (IMO) among the best out there for sand box games.