Both games have done very well. 500K for any game on its first week is pretty impressive. Especially in the case of Heavy Rain, a new IP that many considered niche, and not a "true" video game. It is also interesting to note that in America, SC:C only sold about 146K more than Heavy Rain in its first weeek, even though the install base in America is 9 million more in the favor of the 360. If anything, this shows that the power of the PS3 to sell software is on par with the 360. Well, unless it's a FPS. 
@Mr Puggsly
This is in no way an attempt to deminish how well SC:C did, but I would hope it would perform better than Double Agent, as MS has sold ~35 mil more 360's since it came out. Though, if you added the sales of Double Agent across all other platforms, SC:C is probably selling on par with it, if not a little below. It was released on the very popular PS2, after all.
