Yes, it's what makes the game awesome. I personally don't really like doing the missions, but I love running around with awesome weapons and a tank
You have to complete the game to unlock the tank to buy it. But there is a tank in the game. I don't remember where it is, but when you find it, keep ramming cars into it until it is moved a pretty good distance from where it originally was, otherwise it will start a mission thing, and then you cant use it. But if you push it away, then you can get in it, and the mission won't start. Some where in this thread, or one of the other GTA threads, they showed where the tank was in a screen shot. I'll post a screen shot later.