GTA 3 was the first GTA I've played and, while liking, I felt that it lacked something. Maybe the lack of personality of Claude.
GTA Vice City is a great game, maybe my favorite game soundtrack-wise, but I didn't think that the story had a good development.
San Andreas for me is the perfect game. New mechanics, three cities, a big rural area, good and memorable characters, special moments like Carl having to face their old friends, everything on that game is perfect. Maybe the graphics aren't the best for 2021, but back in the day it was great. It's my vote.
GTA IV was great at that time, even better than V is many places, but I don't know... I didn't like the tone of the game, the choices of who people should kill and the lack of a critical commentary of the society on that time killed my mood of this game.
V is just V. Great most of the time, Los Santos is the better city of all the games, good characters overall, but a build-up story that, in the end, didn't actually lived up my expectations made the game being better on what's it purpouses than in execution.
These are the games I've finished.