As you may have heard, unfortunately GameSpy is due to close its servers on the 31st May. In case you're not aware, GameSpy has been around for a very long time, since 1996 in fact, and was a well established server host used by a large amount of games to provide online services such as multiplayer, leaderboards, and other stat tracking features.
 
The closure of these services means that many games must transition their use of GameSpy's servers to an alternative solution by patching their existing code. While many newer games won't be affected (as of January 2013 the software wasn't available for license), many older ones will, and this includes some Rockstar titles (listed at the end of this article).
 
If you're interested in the history of GameSpy and just why this is happening, our friends at Rockstar Nexus have a nice little write up about it, you may not know that Rockstar actually experimented with using it as far back as GTA III.
 
If you're only interested in how this affects your Rockstar titles, see below. Most changes will only be in the form of stats or leaderboards.
 

Grand Theft Auto V

• No changes will be made

Max Payne 3

• Online multiplayer gameplay: Removed for the Mac version only
• Social Club website stat tracking and leaderboards: Unaffected
• In-game multiplayer leaderboards: Unaffected

Red Dead Redemption / RDR Game of the Year Edition / RDR Undead Nightmare

• Online multiplayer gameplay: Unaffected
• Social Club website stat tracking and leaderboards: Removed
• In-game Social Club services: Removed
• In-game multiplayer leaderboards: Removed for PlayStation®3 version only

Grand Theft Auto IV / GTAIV Complete / GTA Episodes from Liberty City

• Online multiplayer gameplay: Unaffected
• Social Club website stat tracking and leaderboards: Removed
• In-game multiplayer leaderboards: Removed for PlayStation®3 version only

Midnight Club Los Angeles / MCLA Complete Edition

• Online multiplayer gameplay: Removed for the PlayStation®3 version only
• All Social Club website features and account linking: Removed
• In-game multiplayer leaderboards: Removed for PlayStation®3 version only
• In-game Rate My Ride and Driving Test unlocks: Removed

Grand Theft Auto: Chinatown Wars (Nintendo DS and PlayStation®Portable Only)

• Social Club website minigames and features: Removed
• In-game Social Club content unlocks: Removed
• Social Club website stat tracking: Removed

Beaterator

• All Social Club website features: Removed
• In-game Track Upload/Download feature: Removed

Midnight Club 3: Dub Edition / MC3: Dub Edition Remix

• Online multiplayer gameplay: Removed
• In-game multiplayer leaderboards: Removed

As pointed out by Rockstar Nexus, one title Rockstar Games did not mention here is Midnight Club II, which we believe makes use of GameSpy for its multiplayer. Due to the age of that game, we can assume Rockstar will simply discontinue multiplayer features due to (presumed) lack of activity.