Here it is roughly as follows:

Playstation 3; approx 700 USD, the 40GB (currently the only one available here).

X-box 360; approx - Arcade 330 USD, Pro - 450 USD, Elite - 620 USD

Nintendo Wii; approx 500 USD

Bear in mind that both the 360 and the PS3 can be bought with some really great value bundles and can even be purchased at half price at some retailers along with a broadband subscription.

Controllers cost approximately as follows

Playstation 3; approx 120 USD for the Sixaxis and 60 USD for the Chillstream

X-box 360; approx 60 USD for the standard controller and 80 USD for a wireless one

Nintendo Wii; approx 110 USD for Wiimote and 60 USD for Nunchuck (total of 170 USD for the basic controller then) and 60 USD for the classic controller.

Games cost as follows

Playstation 3; approx 110 USD

X-box 360; approx 100 USD

Nintendo Wii; approx 120 USD 

When comparing American prices with European prices, don't forget that European prices include taxes (up to 25% depending on which country).

Accounting for that, the 360 is very cheap now here.

Current Prices:

PS3= 399 euro = $622

Wii= 250 euro = $389

360= 299 euro = $466

Mexico:

Wii: $4500MXN ($450USD)
Xbox 360: from $4500MXN ($450 USD) to $5900MXN ($590USD)
PS3: $7000 ($700USD)

 Canada has its own currency. At the moment it's about $1 CAD = $0.97 USD

 That is almost level, not much difference there. Damn about the greenback being down against all world currencies.

^ Not too long ago (maybe a year or two ago) it was around $1 CAD = $0.62 USD

in poland:
ds 270$ game 40-85$(depends on a game)
psp 300$ game 40-85$(depends on a game)
ps2 246$ game 40-90$(depends on a game)
ps3 670$ for "naked"(without any game) 40gb game 90-116$
x360 347$ for arcade, 469$ for premium with 1 game and 625$ for elite with 1 game
game prices are the same as for ps3.
wii 425-492$ game 70-90$(depends on a game and we have never got any price drop on any game so even 5year old ps2 games cost usually same as completelly new games)
and there are games like
guitar hero 165$
rock band 400$
time crisis 4(with guncon) 157$
and any other special/limited/legendary game editions which costs 135-200$
we are in europe and still everyone f*** us every side he can. can you imagine that monsters 4x4 world circuit which is total crap cost 120$ here?

DS and Wii games vary between £14.99 to £35 depending on the game while Wii's are still full rice everywhere and DS are about £10 under RRP.