Last night gamers uncovered a bug in GTA4 that freezes the game on both PS3 and 360 consoles. No one knows what causes the bug, how widespread it is or what consoles it affects exactly, but the people having the most problems seem to be 60gig PS3 owners though other PS3 model users have had problems too. So if you are getting the game I suggest you do a little research first in case you are unlucky enough to encounter this bug. There have also been other more minor bug and crash reports.
The best fix anyone has right now is apparently deleting the game off your HD and also deleting the save data. This isn't a sure fix, but it's better than nothing. I'd also suggest exchanging for a different copy of the game.
I'd like to say I'm surprised by this, but alas there hasn't been a GTA game without significant issues since GTA3. From the game erasing issue of Vice City to the invisible trees of San Andreas the series has been plagued with bugs, and apparently it still is.
UPDATE:
Some people are saying that clearing the cache on your 360 can fix the problem. Try it out to see if you have any luck