I prefer playing games on a PC. I never got into playing games on a console and I only played Halo 1 (many, many times) and Halo 2 (twice).
PC has more of the games I like to play like strategy and space combat sim (well, there's only one... X3 series). There's also a huge mod community for bethesda games and other games as well.
However, building and upgrading a gaming PC can be expensive especially if you want high resolution and lot's and lot's of eye candy. Plus new games always pushes the performance envelope.
As for consoles, all you have to do is buy the console and the games of course. There is nothing to upgrade. However, graphics never looks as good as on the PC and you are always playing games that are rendered at 720p and...