Being playing on it for 6 months on PS2 and still quite a while off completing (about halfway through the 3rd city). Theres tons of missions and minigames, but i spend the majority of my time just exploring around, killing random people and joyriding.
The most anoying thing when you first start playing is having low skill levels with everything and no access to most of the shops until certain missions have been completed.
If you havent got access to the ammunation shops yet, you will find a Micro-SMG and Armour just east of you starting house (under the bridges in the concrete channel). Theres also a pistol behind the house in the north-east corner of your street. I found these collectables very useful for missions where you invariably end up having to kill people.
Fun things to try:
Car surfing. Stand ontop of an occupied vehicle and fire a weapon, then try and stay on for as long as possible as the paniced driver tries to get away! If you dont have a weapon you can just stamp on it with your feet (using attack). Keep stamping and the car blows up
Bike Wheelie. Hold back while accerating. This might be harder to do with keyboard keys, you might have to tap it.
Bike Stoppie. While moving quite fast, press break, then release and lean forward to ride on the front wheel.
Ride on the train roof. Park a car on the platform and use it as a boost to climb up onto the train roof for a scenic ride and a nice drive-by platform
Theres also a flatbed train thats easier to get onto.
