But is the setting really significant? From my memory, GTA III, Vice City, and San Andreas might as well have all occurred in the same neighborhood of the same city.

Granted, I never beat any of them, so no doubt I did not experience their full grandeur and differences. But all the GTA games just feel so... identical to me. Of course, the same can undoubtedly be said of Final Fantasy, Metal Gear Solid, Elder Scrolls, certainly every FPS that there is, etc. But even though I can forgive such flaws in other games, in GTA they make me lose all desire to keep playing. Perhaps if I dig out the copy of GTA IV that I have somewhere, play it and enjoy it, I'll be more interested.