There are games where console performs better than windows too, like street fighter IV. SO much easier to do a 360 rotation on a gamepad than the keyboard. Of course, I'm able to buy a gamepad for my computer, but what's stopping them from buying a keyboard/mouse for the Xbox? Both uses Live so compatibility shouldn't be that big of an issue.
I think vendors have more to do with this than Sony/MS/Nintendo since they end up losing potential customers. If my friends all play left 4 dead on the PC, there's no reason for me to buy L4D for the Xbox since I can't play with them. Even if I bought a second copy (assuming I already had one for Xbox), MS won't see any of the profits from that, all of it goes to Valve.