
Seriously though, if you want to jump right on in without having to grind through ten years of previous story (there is a story to this game series, right?) then check out IGN's exhaustively researched but wildly entertaining "History of Grand Theft Auto".
And if you'd like to play the original Grand Theft Auto (along with Grand Theft Auto 2) and see how it all began, Rockstar Games has made it available as a free download.