The best and I mean BEST play through to do is what's called The Possible Trinity, it involves playing GTA IV and it's 2 expansions, The Ballad of Gay Tony and The Lost and the Dammed missions in a specific chronological order.
It really makes the excellent writing standout and is like being part of an interactive drama series that's like The Sopranos and The Wire.
https://gtaforums.com/topic/430301-the-possible-trinity/
It's my favourite gaming memory ever.