GTA IV: The Lost and Damned is a fantastic DLC package for a great price.
Now that that's out of the way, I can get to the actual review. I called this DLC a game in the first sentence for a reason. While it may not be as long as GTA IV (30 hours or so), its campaign will last a good 8-10 hours and it is highly replayable. The game has a fairly run of the mill story, but the way it's told is far above par. The voice acting, animations, writing, and action scenes are all top notch. The story does have quite a few questionably violent scenes, but such things are to be expected from a Grand Theft Auto game.
As for gameplay, it's exactly the same as GTA IV, but there have been a few new weapons added. The most notable being the sawed off shotgun which can be fired from a vehicle, the semi-automatic 9mm which is fantastic for close to medium range, and the combat shotgun which is without a doubt the best close-range weapon in the entire game. Another addition is improved bike physics. No longer will you go flying off the bike if you so much as drive over a pencil or a piece of cardboard too fast. You are glued to the seat. It makes riding bikes far more enjoyable than cars. In fact, it makes cars almost completely obsolete except when you need to clear out a ton of enemies since you can drive over there, get out of the car, and use it as cover while you take care of everyone.
Another addition is the new multiplayer modes which are pretty fantastic. You've got "Race" which is like the races in GTA IV, except the players are limited to bikes and everyone has baseball bats that they can use to smack each other in the face. There's the classic "Deathmatch" and "Team Deathmatch." There's "Lone Wolf Biker" which pits everyone against one randomly selected player. Whoever kills the lone wolf becomes the next lone wolf and is granted invincibility for a short amount of time so he or she can get away safely (or not...). There's "Chopper vs. Chopper" which pits one player in an attack helicopter against one player on a bike. The player on the bike has to make it through a number of checkpoints. If he succeeds and stays alive or if the guy in the helicopter kills him, they switch places and the madness starts all over again. There's "Own the City" which is like the territories mode in most games, except your territory is guarded by AI-Controlled bots that can be given better weapons by driving a weapons van around the territories that they protect. The AI is quite stupid, but it does give you time to high tail it over there and fight off the attackers. There's "Club Business" which is a lot like Mafia Works, but it incorporates gang mechanics from the single player game like riding in formation to replenish your health, give you body armor, and repair your bike.
And finally, there's "Witness Protection" which is probably my favorite. There are two teams -- the cops and a biker gang. One player on the cop's side has to drive a bus with 3 witnesses all over the city and drop a witness off at each of three pre-determined police stations. The rest of the cops are tasked with protecting the bus at all costs. The bus itself is heavily armored and is virtually impervious to bullets, but RPG's are a one hit kill, as it should be. The best tactic for the bikers to use is to tail the bus or go ahead of it and wait at the police station if they know Liberty City and its roads well enough. Then, when the bus stops and the witness gets out, shoot the witness in the head. One shot, one kill.
All in all, Grand Theft Auto IV: The Lost and Damned is definitely worth your $20. Just don't let it be played by anyone under 13 or anyone that is made uneasy by violence or male nudity.