Ps3 seems to be the best choice on the current consoles. As far as I know, there's no "bad" game on ps3, I've played around 30-40 games so far and all of them are at least, good enough to be bought.
I've already played MGS4...it's truly awesome (and funny at times, Snake is a cool guy).
Some of the games I've played on ps3 that I would recommend are:
Dead Space - the best survival horror from the console 'til now IMO.
Assassin's Creed
Killzone 2
The Darkness
GTA4
Silent Hill: Homecoming
Lair
Prince Of Persia
In a lesser extent:
-Devil May Cry 4 - I haven't finished yet, but it's cool until now; not mindblowing, just cool.
-Lost: Via Domus - the story of 'our' player is great, even better than some of the character of the original series. I found it a little short, just 11-12 hours of playing, but it's cool (I ended it on 1 night/day).
-Resident Evil 5 - not a survival horror anymore, but fun to play. The 2 player mode is most of time good.
-Viking: Battle for Asgard - at start it's a little slow, but it turns amazing after a couple of hours playing it (you have to make your own army, and of course it's not something easy and/or fast).
-Ninja Gaiden Sigma - a truly HARD game. It's reminiscent of Resident Evil on the way you look for items and clues, but the fights are great, the enemies are smart, fast and tough. One of the few games that don't save automatically, just on the (very few) save points around.