"Not the entire thread and I've read some contradicting statements at other forums so I wasn't sure."
As with any recent 360 game, GTA4 dumps a chunk of data to the HDD when the HDD is present. This would of course be the most oft used stuff. If you want to see this feature in action for yourself right now, then go load up that Oblivion that you were just talking about. Play it with the HDD. Then shut it down and take out the HDD. Loads and pop-in suddenly become drastically worse as there is no longer a HDD install/cache.
GTA4? Same thing.
If a developer isn't taking advantage of this feature, then they are obviously so ungodly incompetent that you don't want to be playing their game anyway.
I'm not sure of the specifics regarding size and number on the 360, but I wouldn't be surprised if it was very similar to the original Xbox in this regard. On Xbox 1, there were 3 caching areas of 700MB each. Any game could use one area, and the Xbox kept the other 2 for the two previously played games. So, play Game #1, play 2 more games, and the cache for Game #1 is still there. Play 3 games in between plays of Game #1, and the cache for that game would need to be rebuilt. This would normally happen during the intro video of the game as an "invisible install". If you ever played an Xbox game and wondered why you couldn't skip the intro video the first time, but could any other time afterward, now you know the reason.