I made a thread similar to this in the GTA 5 section. Of course, no game is perfect, not even great games like GTA 4, The Lost and Damned, and The Ballad of Gay Tony. Here is a list of things of which I personally think would've been cool if they were in these games but unfortunately aren't.
1. I know that the games were made in April 2008. I honestly believe it would've been A LOT less confusing if they were still all made the same time but if, say GTA TLAD took place in March, GTA 4 still took place in April, and GTA TBoGT took place in May, all in 2008. That way, you could say that while they're all the same year in Liberty City, they all take place in different months rather than all at the same time.
2. With the above being said, Jim Fitzgerald and Jason Michaels still being alive in order to take out Billy Grey at the end of the game, alongside Johnny Klebitz, Clay Simons, and Terry Thorpe (prior to being killed by Niko of course). And of course, them helping Johnny kill Brian Jeremy.
3. If Johnny, Angus, Clay, and Terry (along with Jim and Jason) actually kept The Lost clubhouse at the end of TLAD. That way, you can still use it as a safehouse.
4. A third alternate ending where both Roman and Kate are spared and instead, Karen dies. This would definitely be a MUCH more action packed and thrilling two-part ending to the game. Basically, Niko sends a big F you to the IAA (akin to the one you do the FIB and Merryweather in GTA 5's choice C) in the first part after he and Roman get married THEN going on to kill both Dimitri Rascalov and Jimmy Pegorino. If this were the case, perhaps Karen and United Liberty Contact probably wouldn't have made their crappy cameos in GTA 5.
5. If there was a mission after the final mission of all three games where Niko Bellic, Johnny Klebitz, and Luis Fernando Lopez get to team up with Clay Simons and Terry Thorpe in order to take out some hippies in Liberty City Park as the hippies are messing with The Lost MC. This would be rather interesting, in my honest opinion.
What are some things that YOU GUYS think would've been cool if they were in these games?