Do you mean after finishing the storyline? Or after getting 100%?
If you don't have 100% yet, you can do lots of things of course: 100% checklist
After getting the 100%, you can also do lots of things. Beating your own highscores, for example, like HeliPilot said. But also highjacking, I like to highjack cars a lot for more drugs and weapons. Playing the challenges again.. Replaying your favourite mission using the mission replay board in your safe house. And perhaps the best: start the storyline all over.
That's why I like GTA this much; the sky is the limit.