I believe the figure used is that US retailers buy games ($60 RRP) in bulk for approx $45 - $48 per copy depending on the game, publisher, amount ordered etc. EU is supposedly to be lower, but this is offset by EU typically ordering more and then discounting them.
From the $45 they then have to pay an approx 10% royalty fee to Sony / Microsoft, manufacturing, shipping, tax etc.
What I find most interesting is that company will sell their games to retail for less in exchange for 'priority' shelf space, i.e. when you walk into a store and see the new Halo at the front on the new releases shelf, and spaced all around the store with posters etc, it's cause microsoft effectively paid for it.
Hell, that top 10 chart the game stores have is pretty much based on how much the publishers pay them, as opposed to sales. The same goes for Music stores >_>.