I'd say play Lost & Damned first cause Ballads of Gay Tony is just so much better that you wont be able to go through Lost & Damned after playing it.
Pretty much. Get through lost' first. It's good, but it has it's problems.
All three stories overlap and often deal with the same situations, but it's done in such a way that it doesn't matter what order you play them in. It's fun hearing a report on the radio and thinking "I did that!" but in a different game.
Ballad of gay tony also significantly cleans up the graphics on the 360. The distant city is much sharper, and shadows are better filtered. Overall it's less jaggy.
I'm still blown away by GTA4's engine, and what they managed with Liberty city. Sometimes just standing on a street corner and watching it all unfold. The sheer detail (and unique detail) is remarkable. Sure you get occasional late fade-in, but really, considering you can travel at such speeds makes it all the more amazing. Often times it's the incidental details are fleshed out better than games where those details are key components.
A simple example is I stumbled upon the Liberty City underground system, complete with announcer, timetable etc.