I personally follow games, not consoles. I originally bought my 360 in order to play the first Mass Effect. I originally bought my PS3 to play Metal Gear Solid 4. I got my family a Wii so that they could play Wii Sports.
With that said, exclusives are important because they help distinguish each console from their competition. In turn, competition fuels companies to create quality, exclusive titles.
As a gamer, I think you're missing out if you're loyal to only one console. For example, a 360-only RPG gamer missed out on great games like Demon's Souls and Valkyria Chronicles. A PS3-only Shooter fan is missing out on great games like Gears of War and Halo. An HD-only gamer is missing out on all of the timeless franchises that are developed by Nintendo. I'm currently missing out on The Witcher 2 because I don't have a good enough PC to run the game (thankfully its coming out on 360 later).
As long as there are different consoles in competition, there will be exclusives. As a gamer, I don't hope that a particular console has better exclusives; I simply get a console if there is an exclusive worth playing.