There are a million stories in this naked city, but the Naked City story for L.A. Noire is only yours if you preorder the game through GameStop.
Since L.A. Noire's particular flavor of police investigation action is episodic, standalone cases make excellent preorder gifts. That's what Rockstar Games is doing with Naked City, which sees Detective Cole Phelps investigating the murder of a gorgeous model.
Preordering the game from GameStop also unlocks the Badge Pursuit Challenge, scattering 20 police badges around Los Angeles for players to collect in exchange for fabulous prizes.
I wouldn't worry too much about the episode being exclusive for long. That's far too much work to limit it to a select group of customers.
L.A. Noire is coming in May to the Xbox 360 and PlayStation 3.