Sony - Naughty Dog (love this developer) and i guess tie between Santa Monica Studios. 

Microsoft - Was Bungie but not sure anymore. Maybe 343 industries or Lionhead. 

Nintendo - Don't quite understand their ED stuff all that much. Retro is super awesome though. 

I cannot possibly choose between Naughty Dog and Santa Monica. Impossible.

Polyphony Digital for Sony, without a shadow of a doubt. I might reconsider once a Sony home console comes along, whose most successful first-party title isn't a Gran Turismo game.

For Nintendo, I'm not sure. Nintendo EAD Group 2, 4, and 5 (The creators of Wii Sports, the NSMB games, and Wii fit, respectively) are all invaluable.

Don't know much about Microsoft's first-party studios.

Naughty Dog and Kojima Productions for Sony.

im going to be different and say Guerrilla Games...

they make the best first person shooter ever.

and they made the worlds best console Game Engine. i dont think any other engine on consoles is as good as theirs.

Sony: Naughty Dog or Santa Monica

Nintendo: themselves

Microsoft: Was Bungie, but will be 343 Studios very soon. I'm really excited to see what they bring.

Sony- Either Naughty Dog or Insomnial

Nintendo- Either Retro or EAD Tokyo

Microsoft- Not sure. Rare or Bungie, but I'm struggling to name many first party games not made by either of those...

This gen for Sony.

Naughty Dog

But all Sony's first-party studios are great.

Nintendo:

Best: Intelligent Systems (was Retro 2001-2003)
Most valuable: EAD 5

Sony: Probably Media Molecule. all other 1st party sony studios have disappointed me 

MS: Rare, of course

Nintendo: Retro