Eight-year-old-spoiler: In Grand Theft Auto: San Andreas you can fly to GTA III's Liberty City. You can't explore much of Liberty City but the intent in the 2004 PS2 game was clear: Rockstar's GTA cities are connected, and players should be able to travel between them.
And that's just what Rockstar wants to let us do, someday. Here's Rockstar North chief Leslie Benzies chatting with Digital Trends' Adam Rosenberg on the occasion of the iOS/Android re-release of Grand Theft Auto: Vice City:
"... at some point we would like to have one big world containing all our cities and let the player fly between them and revisit their favorite areas, and in that context reimagining Vice City would be very interesting."
Thumbs up to that idea. And then give us a time machine so we can dial it back to Red Dead Redemption, please.