GTA4 whores or RDR whores?
GTA4 whores all the way.
Back to the question in the OP though, so far I'm finding RDR to be more immersive. It makes you feel like you're controlling a proper badass, all the characters I've met so far have been completely different to each other and I just feel like the non main characters have got a bit more meat to them than in comparison to the ones in GTA4. In GTA, save for Roman, Niko and maybe Dimitri, I just couldn't really give a rats ass about anyone else because their stories didn't really develop into anything. Mallorie never did anything outside of cutscenes, Packie just wasn't funny, the whole Irish mission structures were a bit bland, especially the bank robbery which could have been epic but just played out exactly the same as if you went on a sporadic rampage.
That's how I felt about most of GTA4, there were 2 or 3 characters in the entire game that were really memorable, and then everyone else was just a complete afterthought, the missions are fun for a while but then you get bored of the exact same thing in almost every mission. It's basically you play 9 or 10 boring filler missions until you get to a quirky one such as collecting the diamonds from the trash bags and putting them in the bin lorry, the kidnapping mission where the woman is grabbing the steering wheel forcing your car to crash, or the one where you take a picture of the gang members and send it in a text to find out who's the guy you've gotta kill.

Those were memorable, but drive, shoot, repeatedly mission types were not fun.
Onto RDR though and I felt immersed from the very first mision. Now, I'm not very far into the main story, I've done a lot of Bonnie's missions, saved her from being hanged, done some of the marshals missions but I think the real fun comes from the side missions and random encounters. I think the distances between riding places while on a mission is spot on, several times now I've been riding and thinking "How much further now, I've been going for ages" and just as I'm contemplating pulling the map up I end up at my destination. A major problem I had with GTA4 was the sound, apart from the excellent radio stations and the cut scenes, everything else seemed a bit underwhelming. The guns didn't sound meaty enough, there wasn't enough variety but in RDR that's just not the case. Every weapon I've used so far sounds how I picture it's supposed to sound, the pistols are great and I think everyone can recognise the sound of the bullets ricocheting like you get in the old western films.
If I had one complaint it would be that the map is absolutely huge and on multiplayer you really need faster horses. I'm a level 19 or 20 and I'm still riding around on a horse I unlocked at like level 6, very frustrating when you and your posse need to ride somewhere inconvenient. There are the transports in most towns, but usually if you need to do something in free roam it's not really the towns where you want to be. Hunting or herb collecting for example need to be done in the wilderness and planes and it sometimes takes a heck of a long time to get places but I guess that's just a minor gripe of mine.
GTA4 is by no means a bad game, but in my so far limited experience of RDR I just find that poor old Niko and friends pales in comparison.