I loved GTA, loved GTA 2, didn't really like London, adored GTA 3, didn't like Vice City, didn't play San An, and find GTA IV an absolute chore to play.
GTA 3, for my money, best of the lot. GTA 4 I quite enjoy but I find it boring. Much like Red Dead Redemption in that sense, where I just wish it would move along at a faster pace. I will finish it at some point, just don't know when.
I didn't like GTA3. Visually it was superb, but I soon realizedthat there is little to do and missions are repeatable and boring. GTA and GTA 2 were good games at their times, but they are awfuly dated now. The series peaked at Vice City and San Andreas. You should definitely play SA. First missions are little depressing, but then it shows real potential. Some elements are stupid, but they are optional. The storyline and missions are good too. I didn't like 4. It is a bit too serious and feels like step backward in some areas when compared to SA. GTA 5 will hopefully close some gaps.
My personal favourite is VC with its storyline and 80s climate, although SA has the best map and cities and generally the richest gameplay of all GTAs including 4. SA gives you unbelievable freedom.