After couple of weeks of Modern Warfare 2, I don't have that unexplainable urge to keep playing as I did when I was playing COD4: Modern Warfare (single player and multi-player).  I wish MW2 switched it up more to keep it fresh.  On the other hand, Killzone 2, I was playing that for a long time.

Graphics:  Killzone 2 >> Modern Warfare 2

Controls:  Killzone 2 < Modern Warfare 2

Lasting Appeal:  Killzone 2 > Modern Warfare 2

Single Player Campaign:  Killzone 2 > Modern Warfare 2

Multi-Player:  Killzone 2 > Modern Warfare 2

cool story bro!!!

Wrong.

that's personal preference.

I'd have to agree.

Graphics: Really, no need for discussion there. The only people who say MW2 is better seem to be massive 360 fanboys (for the most part).
Controls: If you get used to KZ2's controls, they probably feel good, but I never really did. MW2 wins that round, purely because you don't have to learn anything new.
*gonna switch up the order a bit*
Single player Campaign: KZ2 wins this, as it actually takes time to play through and feels like a story. MW2's campaign is shockingly short and just feels like a bunch of set pieces that don't really fit together (7 hours on Veteran, when not rushing, is absolutely piss-poor for a campaign).
Multiplayer: KZ2 again, as it shook up online multiplayer a bit, whereas MW2 still feels like the same experience we had with COD4: MW and WaW (to a lesser extent with WaW). KZ2 on the other hand has more players + "bots", which add greatly to the experience.
Lasting Appeal: On the basis of the better single and multiplayer (hence the switching of order here), it has to go to KZ2. Really, I don't think MW2 does anything better than KZ2, except have the COD name attached to it.

Personal preferences are awesome, aren't there?

Graphics: Killzone 2 wins easily

Controls: MW2 wins for me, but both are limited to just a few choices

Lasting Appeal: MW2 wins for me, larger community online and also it has spec ops mode which adds hours of fun

Single Player: Both pretty mediocre but Killzone 2's is a bit better

Multi-Player: MW2 wins based on huge customization (perks, kill streaks, attachments) and a much larger community

But besides graphics really any of these are disputable and come down to personal preference.