You might want to try out San Andreas. It's the best, imo, out of the bunch. Huge world to play around in, rpg stats (that everyone moans about), the stories ok, but the real meat and potatoes of that game is the freedom and there are a ton of things to do in it. Want to have a bicycle race down a mountain, well they have that. Want to fly an proppellar airplain? They have that, jets check, boats check, cars of course, motorcycles, huge areas to explore and they are all in different regions. Some are in the woods, some on the beach, some in the city and some in the mountains.
This is the first GTA I ever played and it hooked me for the rest of my life. The amount of things you can do in these games is amazing. They have races, challenges, main story, gang warfare where you have to protect your turf.
That's just the normal stuff. They also have some sci-fi stuff like a jet pack. I didn't like it though. Seemed too much like cheating and it got rod of the whole point of driving around. I loved driving.
Some of the challenges include stealing an ambulance and you have to pick up a certain amount of people within a given time frame to complete it. You get some kind of reward for completing this. Hop in a taxi and start taking people around town if you are low on cash. Being chased by the cops then get your car repainted and they'll forget about you.
It's the best GTA out of them all. I played GTA Vice City and GTA 3 after I played San Andreas. Man that was a mistake. San Andreas is ten times better than both of those games.