Both games are great but I would pick Grand Theft Auto 4.
Grand theft auto is more on the serious side whereas Saints Row 2 is more on the Radical out there side. (Vehicle and character customization in Saints Row 2 is great by the way as well as story co-op)
Grand theft auto feels a little more well polished though and the online adventures are pretty fun as well.
It really boils down to preference. Both are great in their own respects.