In light of recent Killzone 2 videos and screens, I'd have to say that Killzone 2 soundly beats Gears 2 in animations and particle effects, Killzone 2 beats Gears 2 in lighting and AA (Gears 2 still looks like it has no AA, just like Gears 1, Killzone 2 has 4x Quincunx AA). They are both comparable in polygon counts (though it's hard to determine scale at this point), and Gears wins in textures, though barely.
To those saying that Gears 2 has better character models, if you look closely you'll see that most of the detail on the character models comes from fancy texture work, and that the polygonal detail is on par with the character models from Killzone 2.
For example, clasps, nuts, bolts, etc. on Gears of War's character models are all done via texturing, while the Helghast in Killzone 2 wear nothing but gray cloth, which isn't conducive to such details, though what clasps and buckles are there are fully 3D.
