Killzone's controls were laggy, but recent patches have somewhat fixed it. The developer introduced a new 'High Precision' option, which they now enable by default:
When this option is switched on, it makes the analog sticks more responsive to small movements. Turned off, the controls behave exactly as they did before the patch.
I bought the game on release day and I found it a little frustrating at first - the controls did feel slow and heavy, both for aiming but also for moving. One thing that exacerbated it was that in single-player you would accelerate as you moved, it would take a second or so to get up to full speed so if you changed direction or stopped and started then you would be moving slowly for a while. It wasn't a big deal, but coming from other games like Halo it could feel a little jarring.