For Vice City there were singular CD releases for each station with a few of the songs and 2 or 3 adverts along with some dialogue by the station DJ. I think they did similar for San Andreas.

However, if you own the PC versions of the games there are programs to extract/convert the radio stations. I remember compiling my own for the original GTA3 and VC. Furthermore, rips of the adverts are available around the net in torrents. Vice City and San Andreas anyway. Not sure about GTA4. Try Demonoid.