Having played Gears 2 for around 20 hours, and having played through the Killzone 2 demo like 20 times, my take on the topic is:
Gears 2 looks better in screenshots than it does in motion,
Whereas Killzone 2 looks much better in motion than it does in screenshots.
This is a result of where the two game's beauty come from:
Gears 2 looks so good because of its consistently great textures - which of course look great when you're standing still, but when you're running around and shooting it's a lot harder to appreciate them.
Killzone 2 looks so good because of the insane lighting effects, animations, motion blur, and other post processing effects - which look great when you're running and shooting, but are a lot harder to appreciate in a still picture.