There was GTA II, then Vice City, then Vice City Stories, then San Andreas.
Not sure if Vice City Stories was after San Andreas though. It wasn't very well known. There's probably ones inbetween that I didn't mention.
EDIT: I am waiting for GTA V as well, I hope its in a country area like San Andreas, that's what made it so popular. I loved the trees and the vast distances between completely different cities, not to mention the towns inbetween. San Andreas was very well mapped, and I hope GTA V is as well. Hopefully similar in that aspect.