Consoles are a lot less expensive than equivalent PCs, at least at release. A PC that can run Oblivion as smoothly as the Xbox360 with the same level of detail would cost at least three times as much, and that’s if you build it yourself and spend a lot of time shopping for the best possible prices for components. So price is a major factor.
Console games are also sometimes more advanced than what is possible on PC at the time. In older console generations, this was more pronounced - when the PS1 came out, it did 3D graphics better than 95% of the PCs out there. When N64 was new, there were no PC games as good as Goldeneye on the market. With this generation PCs are doing a pretty good job of keeping up with the consoles, but as pointed out above, it takes a beast of a system to play games that look as good as XBox 360 titles.
Also, some games lend themselves well to consoles yet would be awkward on PC - one example is fighting games. Even if you have a large monitor, it’s probably going to be more awkward getting two players in front of it than to get two players in front of the TV.
Then there’s portability. You can easily take your console over to a friends house and hook it up to their TV. Taking your PC to a friends house is a different matter.
Then there’s ease of installation. I usually have no problem installing PC games, but I have better luck than most from what I hear. Even if you have a problem-free installation, you still have to take the time to install, set it up, then download whatever patches you need. If you do have problems, you will also spend time updating drivers, tweaking settings, etc. You don’t have to worry about that with consoles.
Then there’s game availability. A lot of good games are released to console first and only come out on the PC after months - i.e. the GTA series, Halo, Fable, Condemned, etc. Some are never ported to PC, and in some genres MOST good games aren’t going to get a PC port - i.e. platform jumpers, racing games, and fighters.
I personally am a PC gamer almost exclusively. The last console I bought was an N64. I’ve been tempted to pick up a console a few times to play some hot title that wasn’t coming out on PC, but I need a PC anyway and can’t justify to myself the expense of buying a console for just a few games. My preference is also largely based on my game genre preferences…I mainly play first-person shooters and strategy games, and PCs excel at these genres while consoles usually don’t measure up - there’s a few good FPS and strategy games for consoles, but none that are exclusive that I want to play that badly…and in the case of FPS games, I prefer mouse+keyboard over controller+auto-aim.