imo its the shadows in killzone which are way better than in MW2 AND NOT THE LIGHTING.
anyway, from a technical point of view:
textures: pretty much even (dont say the groundtextures in KZ2 are better please, because anyone who played MW2 knows there are maps with awesome groundtexture work!! also, even KZ2 has some ugly textures sometimes as MW2 has)
lighting: pretty much even too (KZ2 uses a lot of spotlights which gives it a different athmosphere, but MW2 has the better and stronger daylight IMO - also its more realistic)
shadows: KZ2. thats where KZ2 shines. also its dark with strong spot-lights which make this effect stand out even more.
reflexions: also pretty much even. anyone who has played MW2 knows there are some worlds / maps with awesome ground-reflexions, water- rain effects on the ground, and other where its the complete opposite.
character models: MW2
environments: MW2
animations: MW2 are nicer but KZ2 has some great "dead guys fly around when a grenate explodes near them" animations.
physics: KZ2 (yes i have to put it in the graphics comparison, because you dont see dead guys fly when something explodes near them in MW2 like you do in KZ)
particle effects: KZ2. the dust / air effects in KZ2 beats MW2. thats where KZ2 gets its athmosphere from.
going on: MW2 has much more going on than KZ2 + the scale is bigger in MW2.
smoothness: 60fps VS 30fps --> MW2 wins easily + it gives the game an awesome feeling.
Cut-Scenes: KZ2 (not really technically though).
now take art-direction into consideration:
KZ2: gray, everything blurrs when you move the right-analogstick. since-fiction. a lot of art used.
MW2: realistic look. not so much art used. colorfull.
overall: I choosed MW2 because i prefer realistic graphics @60fps over since-fiction graphics @30fps
Happy now?
also to the people that believe in sony so much that really think the PS3 is capable of more than the 360:
-MW2 runs on more fps even though it uses more graphical enhancement effects.
-Tekken 6 looks the same on both, even though it was made with the PS3 in mind.
-GTA4 was made with the PS3 in mind and the 360 version was technically superior.