Ok guys. Wanna have some fun? Once you get to the second Island, look around the North-East area of the Island (towards the centre of the map) and you will eventually find a cliff that overlooks some hangars. There is a shear drop into water from the top of the cliff, however, there is a point where the edge of the cliff is close enough to the corner of the hangar area that if you have a car or a bike (even a bicycle will do if you give a good bunny-hop at the edge) you can jump from the edge of the cliff and land in the hangar area. In between the two end hangars is a helicopter.
Once you've got the helicopter you can fly anywhere you want (is easiest if you have an Action Replay Max though so you can disable cops because as soon as you enter an area that you haven't reached in the game yet you instantly gain a 4-star wanted level).
Fly to the far North-East Island (top right of your map) and in that city you will find an airport. Land near the runway and next to some hangars there you will find a couple of Learjets. Unlike the previous GTA games you can actually get into these Learjets and fly them!
Have fun people!