Ooh a GTA list. I own, and in most cases they were bought on the day of release:
GTA (PSX and GameBoy)
GTA: London (PSX)
GTa2 (PSX)
GTA III (PS2)
GTA: VC (PS2)
GTA: SA (PS2)

Of the three PSX games, I think GTa2 would be my favourite. All the new weapons and gangs and stuff totally blew my mind. Of the three PS2 games, San Andreas is of course the one with the best gameplay, but my favourite city of the 5 PS2 cities has to be Liberty City from GTA III.