Grand Theft Auto, the first title in the GTA series, released for DOS, Microsoft Windows and PlayStation in 1997/1998
Grand Theft Auto 2 for Microsoft Windows, PlayStation and Dreamcast, was released in 1999
Grand Theft Auto III (2001), set in fictional Liberty City (based on New York City) during the release of the game (October 2001)
Grand Theft Auto: Vice City (2002)
Grand Theft Auto: San Andreas (2004)
Grand Theft Auto Advance (2004)
Grand Theft Auto: Liberty City Stories (2005)
Grand Theft Auto: Vice City Stories (2006)
Grand Theft Auto IV (GTA IV), was originally slated to be released in October 2007
However, it was announced on August 2, 2007 that the game will be delayed until Rockstar's Q2 2008 (which ends April 30, 2008)
Sources:
Grand Theft Auto Wiki
GameSpot: The History of Grand Theft Auto
GTA storyline, a detailed explanation of the GTA storyline by chronological order of its timeline
The Meaning and Culture of Grand Theft Auto: Critical Essays, an academic book published by McFarland Press that collects essays examining the meaning and cultural implications of the Grand Theft Auto video game series.