My Favorite was Vice City, though San Andreas had some great gameplay additions. The only reason I have a favorite was more of style. I also liked the lead character of Vice City the best, mostly because well....his particular character. He's got to be the most "take control" kind of character I've seen in the series. However, the biggest reason? The 80s. Vice City nailed a good bit of the 80s pop-culture like hardly any game or movie did before. (At least, ones not made in the 80s). Playing in Vice City was like taking a time machine through hollywood glasses. It was a little over the top, but it really had the pure essence down.
Any more authentic, and they'd have to dub Vice City an 80s sim. It's a very different world than what the other GTAs had. However, the other GTAs seemed a little easy to come by because more or less, they were a reflection easily related to in today's world. With Vice City, they had to dig into a culture and feel that just plain doesn't exist anymore.
Kind of like how Red Dead Redemption puts you in a world of the Western Serial. It's a nice little reflection on living in that era. The main difference is that we have enough people, who lived in the 80s, who can pretty much vouch to the amount of stuff Vice City nailed.