Some people don't know but Ray Bulgarin's voice actor was featured in a classic episode of The Sopranos.
He has also worked with Rockstar before. He was the voice of Savo (the World Champion) in Midnight Club II.
I'm nearly done a rewatch of The Sopranos atm and I also thought I recognized Eugene Pontecorvo's voice from GTA, I just wasn't sure which game.
I used IMDb's common thing and it turns out there's a sh*tload of actors that worked on both Sopranos and GTA IV. To name a couple, Pontecorvo's actor Robert Funaro voiced Anthony Corrado (Pegorino's bodyguard) and Rosalie Aprile's actress Sharon Angela voiced Angie Pegorino. There are 42 others, and I can't be assed to go through them all but I bet there are a few other recognizable voices in there somewhere.
From earlier games, Meadow's boyfriend Finn played Donald Love in GTA LCS, Robert Loggia (Feech LaManna) voiced Ray Machowski in III, and Joe Pantoliano (Ralph Cifaretto) voiced Luigi Goterelli. Funny enough, there's pretty much no shared actors in the GTAs that take place outside of LC. The only one that I can think of is Frank Vincent voicing Salvatore Leone in the whole 3D era, but that's from back when Rockstar hired big name actors. Must be because they're local to the area or something, and their agents picked up on the games while Rockstar were location scouting.