I'll just compare the last two of each:
Saint's Row 2 is my choice as I just had fun with it. Plus, the character customization was amazing.
GTA4 had an interesting story, but since I'm not a big fan of crime stories it wasn't to my liking at all (I expected it to be a bit more over the top than it was, like San Andreas serious but still over the top).
I did enjoy driving around town or riding in taxis or even taking friends out. I loved that stuff. It was fun to role play. But then you'd hit the story and Niko seemed so different from how I chose to play. It was hard to like him when I enjoyed my own version of him so much more.
Saint's Row had this problem as well, to be fair, but at least my character was fun during most the cutscenes. Plus, I love the lesbian tendencies of the lady main character. I wish the sex mini-game had made it so she was a lesbian, would have made the game even better. xD