GTA 3 music sucks, but I believe there was a station called Flashback which had some good tunes.
I liked Flash in GTA VC.
The Bounce was my favorite radio station in GTA SA.
I liked the Vibe, KO19, and Liberty Rock Radio in GTA 4. The Russian station was cool also.
GTA V was just filled with shitty new age music and old British rock, so I have no favorites there.
The Russian radio station in GTA 4 is my favorite (probably because I didn't know how to change the channel for 6 months). The country station in GTA SA is good with the Willie Nelson songs. GTA 5 was terrible - I always leave the radio off.