Graphically, the Xbox 360 has the more capable hardware.
This is very evident on the GTA IV comparison. The Xbox 360 console runs the game in 720p resolution without problems.
The PS3 version has to render the game in 640 lines and then upscale the game to 720p, wich will result in lines that are almost horizontal to be jaggier than on the Xbox 360.
Those PS3 fanatics, that try to tell you that in about a year, the programmers have learned to write graphics for the PS3 properly don't know what they are talking about.
Fact is: The graphics hardware of the PS3 consists of a Nvidia 6800 chipset.
PC graphics cards with more power cost less than $50.
Furthermore the PS3 has a graphical memory bandwith of roughly 50GB/sec.
However to render a High definition image at 60 FPS, even the most basic 3D calculations like z-sorting (wich object is hidden by another) and filling these models with shadowed colors needs about 60GB/sec.
The PS3 needs to calculate the data, compress it, send it to the framebuffer and uncompress it again.
The Xbox 360 however has over 270 GB/sec of memory bandwith and can therefore do z-sorting with transparent objects, bump mapping, High Dynamic Range rendering and Anti Aliasing.
So saying that the programmers just need to learn better is just like saying:
This race driver just needs to learn how to use the stick shift correctly and he will be able to drive this Formula 1 car across this plowed field of dirt faster.
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I'd also like to take the time to correct some factual errors in some answers here:
For example someone wrote:
"And of course GTA4 uses compressed files that have to be installed to hard drive..."
The mandatory PS3 GTAIV install is because the BluRay Drive is very slow when it has to load data. It's made for playing movies, not randomly access data for a game.
The Xbox version plays with better graphics directly from the disc. You can play GTA IV on a harddisc-less Xbox Arcade, and the game will still look better than the PS3 version, thanks to the better graphics hardware.
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"...even though the [PS3] RSX is more advanced than dx9 in a lot of ways..."
DirectX9 is a program library. It just is a "translator" for the communication between the programmer and the graphics chip.
So since the RSX chip is based off the Nvidia 6800 chip, you have a perfectly capable DirectX 9 chip, that is in no way better or worse than DirectX9.
DirectX is the language you "talk" to a graphics chip.
However the memory bandwith and processor architecture are what limit the ability to produce graphics.
And in this department, the PS3 is lacking.
No matter if you talk to the chip in DirectX, OpenGL, SDL or any other graphics library.
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Regarding those "tricks" with Full RGB and Super White:
Have you ever used a program like Photoshop or any other picture editing software and got to a dialogue where you can set the color of your pen?
You will see 3 values for Red, Green and Blue, ranging from 000 to 255.
Until the beginning of HDTV's the colorspace of TV broadcasts was limited. Especcially in regards of full-black and full-white.
Therefore, in TVs you couldn't get the colors all the way up to 255 or all the way to black (000).
With HDMI connectors, limitation of values was removed, so theoretically you could now transfer full 255 and 000 values.
However, it's still up to the TV to honor these settings.
Especcially on a LCD TV with background lighting, the full black setting will do nothing, as the backlight will still brighten the "full black" pixels up.
So the comparisons about full RGB and other HDMI settings won't change the programmed graphical capability of a game.