This is a tricky question, I loved the GTA3's story but loved the DLC stories of GTA4. GTA Vice City was iconic and loved the Scarface style story, but San Andreas was the one that really set things apart with the ability to gain weight, work out, customize rides, etc. Definitely felt more immersive with this one. Lastly, GTA5 changed the game completely and I don't mean just the actual game but with a huge map, 3 protagonist to play between (each with their own stories), cinematic graphics, the list goes on. As a long time player, each game holds special places so it is hard to pick just 1.