I've put a bit of time into GTA IV now and while there is some very good stuff in there, it's the stuff that happens on its own that is the neatest to watch.
My favourite thing that has happened so far was something that wasn't scripted. I was walking my character down the street and decided to steal this guy's car. I walked up to his door and pulled him out. I didn't get in the car right away though so he started to punch me. The cops showed up and instead of arresting me, they arrested him instead. I just sauntered away and faded into the shadows while they took him away in the cop car :)
It was just so totally unexpected that I couldn't help but laugh at the poor guy's plight.