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Game_boy said:
It's going to lead to a price and SKU war that will damage both Microsoft and Sony as they can't decide whether they have a games console, a digital content delivery system, a home entertainment centre or a platform for optical disc adoption.

It's to give people choices and to appeal to different segments of the population.  There may be people interested in getting both a HD-DVD player and a 360 so this is another option that they have.