Those of you who don't know about the basic concepts of GURPS should go to the marvelous review that somebody wrote for the 3rd edition basic set.
I'm a game master with 25 years of experience who turned to GURPS about 7 years ago because the game systems I was using didn't support cross-genre play very well. I loved the 3rd edition in spite of its problems, which could be daunting at times. The biggest problems were that the stat generation system encouraged "gaming" the system, there were an awful lot of little loopholes in the skills that the players could exploit, the psionics system was overpowered, and the game system had kind of sprawled over the years. I've got a good group of players and we worked around the problems but kept encountering new ones as we delved further into the world of GURPS.
Enter 4th edition! It solves the gaminess of the stat generation system with such a simple rule I couldn't believe I hadn't thought of it. The loopholes in the skills have mostly been resolved (I haven't finished checking them over yet) and the Psionics system has been dumped in favor of a different simpler system that still seems to get the job done. This book sticks with the character generation system so I can't address the rules sprawl issue yet.
I had concerns about spending so much for a single book (I've only gotten Characters so far but I'll be buying Campaigns as soon as the budget allows) but one of the little secrets is that you really aren't buying a single book. The Characters book includes all of the rules from the following 3rd edition books: Basic Set, Compendium I, Martial Arts, Supers, and Psionics. No more digging through multiple books! Furthermore you are saving a lot of money by buying a single book at $23.00 on Amazon vs. buying 5 books at $12.00 each! I also need to congratulate the editors on doing a MUCH better job of organizing the material in this book than the 3rd edition. The use of language is only slightly clearer than in the last version but it is still greatly appreciated.
Another thing that was greatly appreciated was the hardcover format, I'm hard on my roleplaying books and was about to buy another copy of the 3rd edition book when I saw the fourth edition come out. The improved artwork and use of color was also nice.
The sole caveat that I offer is to the GM's who are thinking of converting to 4th edition. I've run a few games and it runs very smoothly but this game system has the potential to be even MORE complicated than the last version. You need to think very carefully about how detailed you want your campaign to be and then STICK WITH IT! The players may well complain bitterly about not being allowed to use all of the little extras that are now available but the game can bog down quickly if you use everything that this system offers. My group of players were pretty insistent until we ran a game with all of the options and it took 10 times longer to generate characters and to resolve a fight scene than normal and it didn't change the results at all.
My sole complaint is that the index is good instead of being GREAT like it was in 3rd edition. Of course it used to take several tries to find the right index in 3rd edition because there were always several books to choose from...
Final note, I HIGHLY recommend getting GURPS Character Assistant, it is does a much better job of remembering all the little ins and outs of the character generation rules and does a much better job of formating the character sheet and... best of all... no more messy handwriting!