Grand Theft Auto IV (the base game) and its two episodic DLCs—The Lost and Damned (TLAD) and The Ballad of Gay Tony (TBoGT)—are standalone stories set in the same Liberty City. Your choice depends on what you value more.
On PC, Episodes from Liberty City runs better optimized than the base GTA IV. On consoles, all three are on one disc (EFLC) or available as separate downloads.
All three are masterpieces of open-world writing; you lose nothing by playing them all.