GTA IV was some of the most fun I've had online. I'll never forget some of the times I had in free roam.
Its really something when you're on a server of random people and something happens that looks straight out of a movie. Completely unscripted movie like moments. They're rare but I've only found them in GTA.
EDIT: I'm mostly excited for GTAV to see what R* learned and what they do to improve multiplayer.