I made a point in a term paper a few years back that the very nature of GTA, though transgressive, transmits a clear establishment message. You cannot beat the police in GTA. You may escape them, but you cannot stop them. Any attempt to directly oppose the police always inevitably leads to death as there will always be more of them than you. The police in GTA are individually stupid, collectively difficult to evade, and taken as an entire establishment entirely invincible.
Further, there's a recognition (especially in GTA San Andreas) of the fact that the player you embody is fundamentally broken and leads a life devoid of meaning. All of the most likable characters in the games are either killed, betray you or are the "straight men" - the people who point out to your character the failure of their lifestyle.
So although the GTA games allow you to explore your own dark side it seems to guide you to the message that not only is the world better off without your enemies (the people you kill throughout the game) but also without you (the killer).