For a computer game, Vice City had a pretty nice story. Maybe the ending was kinda retarded, but there were some pretty amusing characters throughout the game - Ken the lawyer, Kent Paul the crazed Cockney coke-head, Diaz the pissed-off, absurdly-macho drug lord, etc. There was quite a bit of personality in that game.
But yeah, it would definitely be cool if the game environment were a little more exotic for the next one. Though the GTA developers seem to be in love with that stereotypical urban gangster movie theme.