From gamesindustry.biz:

According to Chart-Track [UK] estimates, GTA IV first day sales were 609,000 units - eclipsing the record of 501,000 units set by GTA: San Andreas in 2004.

GTA IV also set a record for first day sales Xbox 360 software, with 335,000 units. The prior record, set last September by Halo 3, was 266,000 units.
The PS3 version of GTA IV sold 274,000 units in the UK on day one.

UPDATE: From vgchartz.com:

VG Chartz has today announced that according to their early sell-through data, Grand Theft Auto 4 has sold a record 2.5 million units in its first day of sales.

Data for the first day of GTAIV sales shows that the game sold roughly at a 6:4 ratio in favor of Xbox 360 to PS3 in the Americas. While that means the game sold better on Xbox 360, it had a higher attach rate on PS3.

Sales have also been brisk in Europe, along with Chart Tracks report of 600,000 copies sold in the UK in one day, VG Chartz estimates that around 1.7 million units were sold across Europe and others on day one - the format split is roughly a mirror image of the Americas, with around 60% of all European sales being on PS3.