In Minecraft, the world is generated at run-time (while the game is running). The "chunks" are sections of world geometry that are generated (either by the server, in multiplayer, or by the game itself, in singleplayer). The reason the graphics are not very good is it's very difficult for a computer to render (draw onto the screen) lots and lots of cubes. If they were curved or otherwise higher quality graphics, the computer would simply struggle to get all those nice curved cubes onto the screen. All the calculations that are required (such as lighting) are completed at run-time.
In GTA4, the world is meticulously hand-crafted by many specialists over the course of several months or even years. It's all pre-calculated and nothing is modifiable by the user (you can't blow up bridges or punch a hole in a wall). Every calculation that is possible is pre-calculated.
However, the most important reason is that the world of Minecraft is made of thousands of separate cubes, whereas the world of GTA4 is made of (basically) a single object.
GPUs will render geometry much MUCH faster if it's all sent at once. Minecraft says, "Graphics card, take this cube and render it, now take this cube and render it, now take this cube and render it". GTA4 says, "Graphics card, take 62000 polygons and render them". GTA4 will run better because it's rendering everything at once, rather than one after the other.
Now, technically, this isn't how it works at all. You have to take into account batching, among other things, but it'll do to sort of explain why Minecraft has to load chunks.