Often...sort of.
Had an Atari 2600 but switched to Nintendo with the NES and Atari stopped with the 7800 (which I never owned) or later the Jaguar (which I never owned).
Then when the Genesis and SNES came out the Genesis was cheaper so I went with that, but the SNES had so many good games I eventually got it as well.
I wanted a Saturn, but it was dying prematurely so I backed Nintendo as thought of Sony in same way I viewed Phillips or 3DO, some non gaming company trying its hand. Then Nintendo completely lost 3rd party support, especially with RPGs as Final Fantasy and all were going to the PlayStation. I actually won the PlayStation in amath competition at school (horray nerds!) and after playing the cheaper games and tons of RPGs my 64 largely collected dust.
The hardest decision was next. I remember seeing Soul Calibur and my jaw literally dropped. I wanted a Dreamcast so bad, but the Saturn had made me cautious so I went with Sony after the PS1 had done well by me. The Dreamcast died and I genuinely felt bad at the time. Then Nintendo came out with the Gamecube, which I got when Sonic came to it (this completely blew my mind at the time) and system price drop. I was unsure of Microsoft, but a game called Project Ego (later Fable) had so much hype I bought it just for it...only to be completely disappointed with the game.
I took a break from gaming living away, when I returned I honestly was not crazy about any of the three systems. I got a Wii because, hey its Nintendo, and played few games. My girl friend owned a 360 so while technically I did not own it it was there to be played. Sony fell hard from grace with the PS2 being my all time favorite system and the PS3 just felt anemic. Amusingly my friends went together and surprised me with one. It took a bit of time but the library built and I fell back in love with Sony as Microsoft went from catering to me to cranking our games I had no interest and pushing the Kinect, eventually the system died (RROD) to the dismay of my girl friend playing Gears of War. Nintendo seemingly abandoned the Wii so Sony really looked good by comparison.
Honestly, had no strong feeling until E3 when Microsoft took a huge dump on people like me and Sony just stayed neutral winning in a landslide by default. Nintendo weak start and experience with the Wii left me waiting on the Wii U (Hyrule Warriors!) for 2014. I was bit surprised, but moved by emotion I pre-ordered a PS4 because over the years only Sony has never let me down (mild exception being early years of PS3).
So, to recap
Atari -> Nintendo -> Sega -> Nintendo -> Sony -> Sony -> Nintendo -> Microsoft -> Nintendo -> Microsoft -> Sony -> Sony
