The thing with the world of GTA, especially 4 and 5, is that all the characters were criminals when you started the game. Either they tried to get out and ended up back in it, or they wanted to raise their standing within the criminal world or in the case of GTAV’s Trevor, a complete basket case that is a danger to himself and those around him. Compare that to Mafia 2 in which case you start off outside of the criminal world, end up joining it and working your way up and then get out of it, there is much more of an arc and frankly a better connection to the main character (at least for me, anyway).
The biggest draw to the GTA series is the activities to partake in, specifically stealing cars (hence the name). My issue with GTA 5 and with GTA 5 Online, is that there was a value cap on the vehicles, limiting what you were able to steal and store in your garage. You are not allowed to keep high end vehicles/sports cars, you can sell them (for an extremely small fraction of what they are worth) but if you want to keep them you have to buy them.