Out of the games in the series I've played:
TBOGT- It's a fun game to play, but it really did ruin Bulgarin. Like others have said, he seemed so menacing in IV, but in the Ballad, he's a joke. What the Hell? Niko definitely should have been the one to end him. Hell, Niko never even found out by the end of the game (Though he'd obviously find out afterwards, something like that would be all over the news.)
SA- The Los Santos parts are great, they're superb. Everything else is a bit of a mess.
V- Hoo boy, the big one. Franklin has no character. None. He mostly just stands in the background while Michael and Trevor bicker and carry on like a couple of teenage girls. He's as shallow as a puddle. Then you spend half of the game being the government's bitch. And the final bosses are really, really lame. IV has Pegorino and Dimitri, who, by the end, players have a real, legitimate reason to absolutely hate them. They're true antagonists, and getting revenge was great. V gives us...... Stretch, who was in like two missions at the beginning of the game and doesn't even get mentioned again until then. Wei Cheng, whose evil deed was.... not wanting to work with Trevor. He ambushed Trevor and Michael in Yankton, yes, but only after Trevor attacked his business, Steve Haines (Okay, he actually does make sense.), and Westin, who didn't even put up a f*cking fight other than his guards. I get that he's not supposed to be a fighting type guy, but it was way too easy to get to him (though I admit, sending Merryweather to Michael's house does make him a villain worth killing.) But even still, I found them more annoying than evil. I don't know, it's like there's a disconnect.
I guess it's like this: GTA IV is like personally going through Pegorino and Dimitri's betrayal. You feel it. V is like reading a news article. You think, "Oh, that's awful to hear." but it doesn't really resonate with you on a personal level. You feel empathy, but it's not really personal.
Michael's a decent character. He's the most rounded of the 3, and the one I most easily connected with, because it was actually remotely possible to, and it is nice to see his home situation improve, it really is.
Trevor. Trevor's a goddamned mess. There's zero consistency to be found. It's all just "LULZ HE'S CRAAAAAAAAAZY". He preaches loyalty, but treats everyone around him like trash. It's hypocrisy, but unlike, say, Niko's hypocrisy, it's not well written, at all. I could go on and on, but I'd just be repeating myself.