The new mouse-and-keyboard controls work great for combat -- a headshot is as easy as falling off a log! Driving with the keyboard takes some getting used to, but an Xbox 360 controller hooked up the PC fixes that. You can swap freely between mouse and gamepad, complete with context-sensitive controller tool tips onscreen.
But the best new GTA4 PC feature is also a subtle one, but its importance is hard to overstate: Independence FM is a new radio station composed of your own music. Open your music folder and drop in some songs, or even just a shortcut to wherever you keep your MP3s. This creates your own soundtrack. Niko Bellic may not do the things you want him to do, but at least he'll do them to the songs you know. And you can guarantee at least twice as many of those moments where you drive around the block before stopping because you like this song.