Further discussion:
In GTAIV's epilogue to the supposedly "good" ending, Niko can receive a posthumous phone call from Kate where she behaves as if the recent events didn't happen. Glitch due to poor programming, or a sign that Niko has actually completely lost it and is now imagining conversations with his dead love interest.
Really out there version: Niko died at some point. The epilogue is set in purgatory.
Think about it.
/finished ruining this thread