It is implied that there were five wars in total, and it's likely that their winners would each have wished for something epic, like immortality or godlike powers, but throughout Fate/Zero and Fate/stay night the world doesn't appear to have been affected at all by previous wishes. Am I missing something?
Note the Holy Grail War was originally a means to get to the Root, although only the Tohsaka family has retained this goal. (This appears either in "Heaven's Feel" or "Unlimited Blade Works".) The Holy Grail as a granter of wishes is described as "only an excuse made for outsiders" in UBW. Thus, in some sense, the wish-granting component is very secondary. That said, the Grail can materialise and grant wishes if enough servants have been destroyed.
Somewhat more importantly then, in UBW section of the VN, we learn about the Einzberns' failure to complete the Grail. Supplementing this with the Wiki, we thus have:
The First Holy Grail War seems to have been a failure: the Wiki states that a conflict of interests among participants ended the ritual before it could be completed. This would make sense, as it otherwise would be odd for all three families to continue in the ritual had they succeeded.
This is particularly true of Zouken Matou, who has been around since the beginning.
This description is ambiguous enough that it's possible that one of the external participants had a wish granted. However, it sounds more likely that the entire ritual failed.
The Second Holy Grail War is said to have developed into a murder spree which nobody survived, so there was no winner. (As a result, the Church got involved as a mediator.)
The Wiki states that in the Third Holy Grail War, "the Lesser Grail was destroyed during the battles before the victor could be decided, so the ritual became meaningless and failed." (Also mentioned here -- the effect was that the Einzberns started using homunculi to contain the Grail.)
What happened in the Fourth Holy Grail War is obvious if you've seen Fate/zero.