I had fun with Vice City, but I'm guessing only because the idea of the game was new to me back then and it was my first PS2 game.
San Andreas bored me, and GTA4 was even worse. Every time I see someone talk about GTA4 I think about how IGN (and other sites in general) praised the story and acted like it was something amazing, when really, it's not. Saints Row 3 is the only SR game I've played, but I thought it was a billion times better and more fun than any GTA.