In general, Grand Tefth Auto is one of my most favorite video game series out there, for sure. I've been following it ever since I was introduced to GTA back in 2002 or so, and still am.
We're allowed to explore the place the game happens to take place without any worries, missions are rather fun to take part, and we get chance to do things that we're usually not permitted to (nor even would want or imagine to, for most part) in real world.
The title that stands to me most would likely have to be Grand Theft Auto IV, since that's the one I've found myself playing most. Liberty City isn't so bad, either. There's no least favorite, but I'd kind of disliked the locations San Andreas have had, as they seemed to be kind of bland. Aside from that, I feel everything else were nice.