Past GTA titles have had mild-to-serious framerate issues and technical glitches, because the games were trying to do far more than the PlayStation 2 could handle. While GTA IV is pushing the PS3 and 360 to the limit, it also runs amazingly well. Sure, there are framerate hitches here and there and (particularly on 360) there is some texture pop-in, but it actually runs better than I expected. That a game with great AI, an awesome physics engine and a detailed open world runs so well and with such short load times is a technical marvel. For that, I can forgive framerate issues and some noticeable aliasing.
For those wanting to know which version looks better, the edge goes to the PS3. The textures and framerate are comparable, but the PS3 has far less pop-in. The 360 has richer colors, but the PS3 has better anti-aliasing making it look a little cleaner. Because GTA IV can preload onto the PS3 hard drive, the in-game loads are faster. Don't worry Xbox owners, the load times are rarely more than 30 seconds and don't occur very often. The slight visual edge goes to PS3, but the 360 is no slouch. Either version will do you proud.
If you're wondering which version to buy, the best suggestion is to consider what your friends will purchase. That's because online multiplayer has made its way into GTA IV and it is awesome. And, like all great things, it's best played when drunk and with as many friends as possible.