Does the mission order matter?

Does the order in which I do the missions in GTA IV matter? And more specifically, is it possible that a mission will become no longer available just because of another mission I perform before it?

Right now I'm assuming there's no problem and whenever I am free I just go to the nearest available mission, but I was started to get worried that it might cause me to miss out on missions.

Clarification: by "missions" I only mean the missions you receive from going to the map locations marked with letters, not activities such as stealing cars for Brucie or vigilante missions.

From my experience playing the whole GTA series where the game is based around free-roaming. You can go do all the side missions and return to a storyline mission without any disadvantages.

In the context of GTA IV, I would say that the only benefit to doing the missions in an orderly fashion is you gain better weapons/services/money to assist you when the harder missions further on in the game are available.

Overall, the sub missions wont affect your main storyline missions, and vice-versa.

Typically from when I played through GTA 4 most of the missions would go in an order that would fit with the story. Say you have 3 places to go to, they would all fit with the story at that point. It seemed like you would go and do all of the missions and then the story would advance once everything was finished.