While we sit here and wait for Gran Turismo 5 to be released for the PlayStation 3 (which I may never get anyways because the PS3 is priced a bit more than I care to pay for what would be a "1 game console" for me)...  I've been playing the previous GTs and noted a few things that I missed not having done direct comparisons before:

• What ever happened to the "Red Rock Valley" track from GT2?  That was my absolute favorite track from any of the GT series, but disappeared as of GT3.  Of course they kept some of the horrible tracks...  :(  Searching the Internet to see if there's anything else missing lead me to notice that Grindelwald (I don't even remember that one now) and the Pikes Peak tracks are also missing from GT4 (not so sure if they made GT3 or not, wasn't looking for them at the time).
• Time penalties in rally mode on GT4 are VERY annoying at times.  <sarcasm mode on>  I just love being in a nice drift around a corner, having the computer car come flying into the corner (way faster than it could ever hope to make the corner) and run right smack into the side of me, and then I get stuck with a penalty.  <sarcasm mode off>  HELLO, the computer car hit ME, I was on my line, the computer car was the one that caused the crash!
• GT3 game play is better than GT4.  The cars feel better/more realistic.  The power is much more controllable with the stock controller.  Perhaps GT4 is better with a wheel and pedals, but it's very hard to control power delivery on the faster cars in GT4.  Especially in rally mode.  GT3 is very fun and playable.  Rally mode in GT4 with a fast car is as bad as when I rallycrossed the Eclipse when it had the VPC.  You have a choice of no power or wheelspin.  Downright frustrating.  If I want to play rally mode (or have fun with the 1000hp Lotus Esprit), I pop in GT3...  Otherwise I pick GT4 (and suffer through the control issues) since it has a better selection of tracks and cars...
• B-Spec mode (which I scoffed at when I first encountered it) in GT4 is quite handy for those insanely long events.  Also handy for high speed cars on Sarthe (which is so bumpy that it serves to exaggerate the above control issues to the point of going beyond simple annoyance)...  Also handy for events where wheelspin tends to tear up tires in A-Spec mode.  The B-Spec "driver" is very good at perfectly controlling wheelspin and not destroying the tires.  Of course, the B-Spec driver's overtaking & passing skills are, well, terrible...  You can't have everything I guess.  :)