Fauna is all of the animal life of any particular region or time. The corresponding term for plants is flora.
Grand Theft Auto: San Andreas
In Grand Theft Auto: San Andreas, most fauna is found underwater. It mostly consists of all sorts of marine life such as dolphins, clownfish, and jellyfish. Fauna also appears in the sky in many forms of birds, such as hawks. There was going to be much more wildlife in GTA: San Andreas, roaming the countryside, but was cut out because proper animal AI could not be done at the time.
Grand Theft Auto IV
GTA IV introduced many types of birds. Many of them don't physically appear but their chirps can be heard in the ambient background.
Grand Theft Auto V
It is confirmed that animals will appear in Grand Theft Auto V. Dogs are frequently seen in the trailer, and in fact Chop, a rottweiler dog, may be a usable animal. Dan Houser has stated in an interview that the countryside would be lifeless without animals, and Rockstar decided to add animals in the game. A related game on RAGE, Red Dead Redemption, had a variety of wildlife, and it isn't unreasonable to think that many animals from that game will make an appearance in V, if not perhaps even more added.