My personal favorite is San Andreas, because it's the first game you can actually swim in plus you can make Cj fat, which is hilarious. xD I just like that they added a different way to play. Though pretty much all but the first 2 games are great in this series.
San Andres as they had the most customization, you would be able to pimp out your ride giving it nos, hydraulics, ect. You also had jets, bikes, and the best a gym. I especially loved the level system with the guns and your weight/muscle.
I have only played GTA 2, GTA 3 and San Andreas. I liked them all. I think that San Andreas was the most creative. However, giving him just the right amount of food was annoying.