Favorite: Vice City. The atmosphere was perfect and it had everything a GTA game needed, and nothing it didnt. San Andreas had an atmosphere that was just as good, but it was just so big, there were so many gameplay aspects, and as the story got deeper I just found myself less interested by the end. BUT SA had better replay value. I dont really play VC anymore, but I will play SA just to cruise around the countryside or fly from place to place.
Worst: That's easy, GTA III. The gameplay was restrictive, the graphics were muddy, the music sucked (and the radio stations did not sound realistic, and if they were supposed to be satirical it was crappy satire), and there was zero character development. Worst of all, everyone went absolutely bazonkers over it. Anyone who was at GR in the fall of 2001 could look forward to pages and pages of topics about GTAIII. The only thing about it that impressed me about it was the fact that they made a big, living city. Unfortunately, many other games took this cue, resulting in approxametly 85% of new games being released described as "its like [previous installment of game] meets GTAIII" or "its like GTAIII but with _________!"
Disclaimer: I havent played GTA IV yet.