It depends on the game and how I'm feeling at the time!
My PC for mouse-keyboard-intensive games (strategy and many RPGs).
PS2 for the older, nostalgic titles - especially those of the Final Fantasy franchise.
XBox for newer first-person style games that are graphics-intensive and designed for a controller.
Wii for fun multi-player gaming, or for the novelty of waving my arms around, or dancing on a mat. XBox kinect may replace some of this, but I haven't tried it yet.