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PSP: 

- Lacks any games worth playing

- Terrible battery life

- Lacks dual joysticks for playing shooter games and other games that could utilize 2 joysticks

(I'm not trolling, I'm being honest)

 

X360 (I have the new one, so reliability isn't an issue):

- Honestly I can't think of anything besides that I have to pay for Live. Its a great console. I would say it lacks 1st party support, but has plenty of 3rd party support

 

PS3:

- Lacks cross-game chat, and the online in general just isn't as good as Live IMO

- It doesn't let me change the MAC Address (like the 360 does) so I can't use a wired connection at university, just wireless which isn't as reliable where I am (sometimes comes and goes).

- Long updates, slower loading time of games