Xbox, Gamecube, PS2, then Dreamcast.
Xbox has the best looking games, and while the Gamecube is more powerful than the PS2, unless you mention Resident Evil 4, the PS2 a lot more games that look better than those on the Gamecube rather than just a few. The Dreamcast is easily the least powerful of them, with launch titles from all three consoles looking better than almost anything on the Dreamcast aside from Dead or Alive 2 and Soul Calibur. Shenmue is a great game and a great looking game, but compared to anything decent looking on any of the three consoles it doesn't compare.
It's my favorite console of last gen, so here's a few of the best looking PS2 games in my opinion.
Resident Evil Outbreak 1 and 2. The two best looking games on the PS2 and better looking games than RE4 on either the PS2 or Gamecube, all of this my opinion. Now RE4 has the best looking character models of any game last gen, but when it comes to textures and detail of the world itself, that's where the Outbreak series is much better. One thing that Outbreak doesn't do is you can't adjust the camera yourself, it might adjust by tilting down a hallway you're going down or panning back when you're nearing a door like the older titles, but one thing about Outbreak is unlike the older PSX titles, the world is full 3D and not prerendered 3D and it still looks as good as it does.
On a side note. Almost everyone hated these games, and the only reasons I can think of is because the god awful load times and they don't use classic Resident Evil characters. Leon wasn't an original character when Resident Evil 2 was released. People are too harsh a critic on games these days. These two games were absolutely amazing games that refined the classic Resident Evil gameplay and set the player(or players,) in different scenarios. In some stages zombies kept getting in one way or another, or you had something following you so you were never entirely safe. This game was truly survival horror, not the direction that Resident Evil has went towards. The first game in the Outbreak series is also better than the second in the series, but again, that's opinion.
Xenosaga 3. Being a sci fi style game sort of helps Xenosaga 3 out as it uses the same standard as every sci fi game has used then and now. Flat although clean looking corridors with automated doors. But there is the times that it diverts from that and is extremely well detailed and very beautiful. Character models are also some of the best you'll see in a video game developed last gen.
Final Fantasy 12. Already mentioned, but this is an amazing looking game. I'd like to see this get a HD rerelease over FF10. I'm not a fan of FF10, although it's better than the atrocity that is FF13.
