GTA3 was the coolest at the beginning because it was new and revolutionary to play GTA in 3D in such an big city but that was before I played the other two. the storyline is not that cool and there a lot of missions that are just annoing in my opinion. but this is the first 3D GTA ofcourse and this is the game that come's the closest to GTA and GTA2.
At the end I completed all 3 games and I can say that I like Vice city best because I like the setting the most (scarface, lill'bit miami vice) and vice city has the most humor in the game in my opinion. the missions are maybe not that cool all the time but the whole miami setting is really cool and you'll feel at the end what it must be like when the world is yours.(scarface style)
San Andreas is also really cool and BIG!!!, but i dislike the whole gangsterrapper stuff in it. The cool thing about this game that It's so big and they did put tons of unlockables in it and this game has the best storyline in it and ok...the coolest missions too... It's cool to explore this whole game and try out some stuff.
Also I'd like to say this: when you complete either of these games(100%), the fun dissapears. maybe not for the hardcore GTA fan's but for me that is. But I can say that it will take hours and hours of gaming to complete these 3 games.