Shenmue (especially 2), makes you feel like you're part of the crowd, and insignificant in the great scheme of things. The chaos the player is able to cause in GTA detracts from the realism and 'credibility' of the setting, as you're more or less an invisible god thingy that is causing trouble without anyone batting an eyelid.
You can't compare the two, because they're totally different games. GTA's non linear fast paced, action packed nature calls for disposable, generic environments and NPCs. Shenmue is a linear game which doesn't take place in a void.
Ugh, Shenmue is a masterpiece. It's like, the ONLY game of its kind. Everyone has different opinions, but sometimes I just don't understand how some people can just dismiss Shenmue as 'crap' even if they did find it boring.
Another thing I want to mention is how Shenmue 1 was created as the prologue, and it gave you the feeling you were at home, and had that cosy, "this is normal life" feeling. Then when Ryo goes to Hong Kong, you get culture shock and a "This is how we do it in Hong Kong" feeling. Then Ryo goes to Guilin, and while the culture is still different, it has a calm, peaceful and cosy atmosphere which is similar to Yokosuka. To think that they paid that much attention to detail...
*feels extremely sad*