I'm playing
Grand Theft Auto IV (PC)
The sequel to the carjack-fest of the century satisfies all your mob and hooker related fantasy, though it suffers from a few PC-porting related shortcomings.
I've Beaten
BioShock (PC)
Dive beneath the ocean's surface for a dark masterpiece of gameplay design. Scaring you is just the first of many, many things BioShock does spectacularly right.
Grand Theft Auto: Chinatown Wars (DS)

This is a superb transfer of the console GTA experience, which is shocking to see on this underpowered system.

Grand Theft Auto: San Andreas (PC)
A hell of a lot of fun, even when the cops are chasing you around town.