Freaking Awesome
First of all, it's a lot more realistic, if Niko is running through the street and a car comes at him, he won't just fly away and then get up, he'll bump off the car and remain on the floor for a couple of seconds before he gets up, while the car will get blood over it. Also, you won't be able to just run straight to your enemies and kill them, if you try to do that you'll just get yourself killed, you'll have to take cover and start shooting from afar.
The city feels alive now, in other GTAs, you could see up to 3 guys who look exactly the same walking past each other, now you'll hardly ever see that. People now read the newspaper, eat stuff, drink cups of coffee, etc. When it's raining, they take out their umbrellas or run away from the rain. You'll actually feel you're in a real city, and not in a video game world.
Even with all this realism, the game hasn't lost its sense of humor, there's a ton of jokes and pop culture references everywhere, and while the game is somewhat more serious, you'll still be laghuing every now and then
You can go to bars, strip clubs, restaurants, you can go play pool, darts, bowling.... and some other stuff. If you don't feel like stealing a car or driving home you can call a taxi for it to take there or anywhere you want.
Niko Bellic is probably the best GTA character ever, he has a troubled past and his cousin Roman dragged him over to Liberty City, and he owes money to the wrong kind of people. You can really feel sorry for Niko and you may end up HATING some other characters.
There's some other stuff I could complain about, like a lack of Cluckin' Bell restaurants and the radio station Double Cleff FM... ok seriously, you may have some problems when driving, but I can overlook that.
Overall, Grand Theft Auto IV is one of the best games ever made, and absolutely the best in its genre. You should definitively buy it, unless you ahve problems with violence, cuz there's a lot of it.