I played a little of 3, but this was my first real experience with the Grand Theft Auto series.
The game is now set in a Miami-ish setting of Vice City. It's got the awesome 80's culture and music all in the game. I loved the missions and the storyline.
I also liked the sense of speed and driving better than any of the other GTA games. I also liked how I remember most of the map unlike San Andreas or Grand Theft Auto IV.