GTA IV. It was the game that made me dream of having a PS3. When I finally got one, it was one of my first games for the console and it pretty much delivered on everything I wanted. It's my favorite GTA, one of my favorite modern city-sandbox games (along with The Godfather and Watch Dogs) and one of the games I've played and finished the most in my life.
It's not perfect mind you! It still pisses me off that they don't let you choose the color of your car in the spray shops lol