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.