San Andreas
This is my favorite game ever. Ever. It's also my proper introduction to the GTA series, since I was a bit young when the others game out. But even though I played it in 2008 and the graphics were quite a bit dated by that point, I was just blown away. The world was so big, varied and fun, there was so much fun/cool stuff to see and do, the story and characters were awesome, and the gameplay was a blast. I was already having a ton of fun in Los Santos, but when CJ got dumped in the middle of Bumblefuck California, that's when the sheer scope of everything set in and I realized this was a truly special game. Near the end of the game, I even had a hard time leaving my Xbox, I was so caught up in it.
And I'm pretty sure I'm one of the few people who prefer the soundtrack here to the soundtrack in Vice City. This game single-handedly made me a passionate fan of hip-hop/rap music. I started with the stuff in the game like Ice Cube and Eazy-E, but then it just fucking snowballed and I started getting into all kinds of rap artists. I'd say that this game is responsible for about 70% of my music collection!
Sure, it's not perfect. There are a lot of annoying things in it (fuck that damn dancing minigame... though oddly I didn't mind the low-rider game, even though it was basically the same thing) and some of the missions can be damned aggravating. Not to mention many of the standard GTA kinks, like the lack of checkpoints and those damn Paramedic missions. But despite all this I never really got too frustrated because there I was just having so much fun with all the cool stuff in the game.
I've played through the story about 3 times now, and I've just bought the Mac version and am playing it on my laptop. I quickly went about installing a mod, namely the Lil Q mod that increases the draw distance and works more realistic-looking weather and much more beautiful sunrises and sunsets, so now it's like a whole new game.