1.) For console manufacturers exclusives give them brand identity. They are the ones who [should] care for exclusivity THE MOST.
2.) For 3rd party devs, I'm not sure why; because if you ask me It's always better to go multiplat as far as potential sales is concerned. As a fellow programmer however, I can see it largely due to hardware architecture familiarity and its compatibility with the game design. In some cases maybe they get incentives from the console manufacturer (just maybe). It could also be due to simple favoritism.
3.) For consumers, it's really just about this thing called pride. Some people want their console to rise and watch competitors fall flat on their faces. Some are simply [too] loyal to a manufacturer.
Personally it doesn't matter to me if all games are multiplatform, if at all possible. It wouldn't hurt me if Mario appears on Playstation, or Halo on Nintendo. It kinda stings though that I can't play the game because I didn't/couldn't/wouldn't buy the said console.
