Grand Theft Auto games aren't immensely challenging - the game is designed to basically serve up an entire city as your own personal playground, so long as you don't mind stealing cars all the time and murdering every person in sight. But some people like to add a little challenge spice to the GTA stew by doing the impossible - actually following the law. No stealing cars, no murdering civilians, and - hell - even obey the traffic lights. It ain't always easy, but you'll appreciate what you got a whole lot more when you aren't punching a guy out of his own car to get it.
Half the point of GTA games is that there is no point. They're referred to as 'sandbox games' for a reason - it's a huge sandbox designed to let you do whatever you want in it. And, for a lot of people, 'whatever you want' happens to be 'make a huge mess of things' - just like kids in an actual sandbox, except with rocket launchers and a sociopathic disregard for all life.
The real fun of GTA often comes in trying to wiggle your way out of the noose the cops are tightening around your neck. 2 stars turns to 6 stars quickly, and suddenly there's practically an entire army hunting some low-level criminal (who does happen to have a pretty impressive arsenal in his pockets). The question is - can you escape? Can you get out of their radius for the requisite 30 seconds so that the cops can drop the 57 counts of homicide and move on to more important matters, like accidentally bumping into random cars on the road? It's like being Houdini, if Houdini was a mass-murdering psychopath with a penchant for stealing helicopters.
Listen, there's definitely an actual structured game lurking within every GTA game. There's all kinds of dialogue and character interactions and missions for you to follow. Some of them are even sorta fun (some of the time). But a lot of it is tedious. Tedious and boring, especially compared to what you COULD be doing instead (blowing up things and getting into high speed chases and literally everything else). Yet there are still people who want to complete every mission and actually work their way through the storyline, no matter how many RC copters you have to navigate or how many trains you have to follow at just the right distance. And frankly, these people are the true nutjobs, not the ones who shoot up civilians for no reason.
Someone at Rare must have infiltrated the Rockstar offices at some point during the development of San Andreas, because from that point on, the games could easily be confused as some kind of Quentin Tarantino version of Banjo-Kazooie. There were packages, tags, oysters, horseshoes, and more to be collected throughout the various regions of the game. It was scaled back to (mostly) just pigeons in GTA IV, but the virtual equivalent to stamp collecting now goes hand in hand with the murderous impulses of everything else in GTA games from now on - and that's not even including all of the cars, properties, achievements, and miscellaneous other things you can collect and categorize.
Hell, it might be more surprising if stamp collecting ISN'T a feature in GTA V.
One of the best things about GTA games is how much detail goes into them. Every nook and cranny has something interesting about it, which makes a lot of the fun of each game just exploring whatever sprawling metropolis you happen to find yourself in (and then covering it in blood and bullets). There's a reason GTA V cost (an estimated) $265 million dollars to make - building the huge world of Los Santos and filling it with detail doesn't come cheap, especially when you can't just beat up pedestrians and collect their ominous glowing, floating money.
GTA is not The Sims, despite what GTA San Andreas and IV would have you believe. But, in an attempt to give you yet another thing to do in these massive games, Rockstar decided to let you start dating and forming relationships with friends and potential Hot Coffee-participators alike - relationships that had to be maintained, by taking a break from your usual bouts of nihilistic carnage to go bowling or to a bar. For some, this is an important aspect of the GTA games. For everyone else, please someone tell me how to destroy this stupid fucking cellphone.
GTA games aren't all about gratuitous levels of crime, sex, and unspeakable violence - I mean, they totally are, but they also have some minigames you can play every now and then to convince your mom that the game's actually about bowling or rescuing sick people in an ambulance (then go back to the crime/sex/violence stuff the second she leaves the room). Maybe you want a game that's a fire fighter/ambulance driver simulator with some fun sports and activities to do on the side, and your best option just happens to be a game that most people play as the unholy lovechild of Rambo and Dexter.