For me - at least non-music wise - it's gotta be West Coast Talk Radio in GTA, especially V. I recently reinstalled the game and constantly crack up when Chakra Attack with "Dr. Ray de Angelo Harris" comes on. Him and Cheryl are fucking classic.
Oh man, it's got to be Flashback 95.6 from GTA III. Cruising to that glorious Scarface soundtrack while experiencing that freedom - I haven't been able to replicate that feeling ever!
In GTA games I stick to talk radio but when I came across Los Tigres Del Norte on East Los FM I made sure to keep it on that station from then on. Plus El Sonidito makes for great chase music.
Softly radio station from Sleeping Dogs has some really fantastic stuff. Probably the closest I've come to enjoying an entire station while driving about in a sandbox game.