As a lot of people I to got my hands on GTA IV this week. Great game, I just scratched the surface of things to do in Liberty City. Better than any of the previous GTAs they created a believable environment. Don't worry, the game is still overflowing with satire, but everything is a bit more realistic and detailed.
A few bugs and glitches have overshadowed the release of GTA IV. A lot of people on both the XBox360 and the Playstation 3 have encountered these problems. For the PS3 version of the game there have been some suggested fixes, there's a
12 step fix from TakeTwo but this requires you to reinstall the game and remove your save games so I won't recommend this. A fix that worked for me was just to sign out of the PSN prior to running the game. I have the 40Gb PS3 without the PS2 backwards compatibility, consoles with the backwards compatibility may crash due to the PS2 up scaler, turning that of might help.
TakeTwo is working on a patch, which will also address some framerate issues, but they gave no estimate about the release date of the patch. There are no known fixes for the XBox360 version at this time.
Update:
An patch was released for the PS3 version, results of this patch vary. I haven't encountered any crashes since the patch, but other people have reported that the patch didn't make a difference.
Also it seems that Sony doesn't get much bug reports from users, most people contact Rockstar Games or TakeTwo. To help locate the problem you can contact Sony's support and tell them where and when the problems occur...