PC games: Cheaper, but you need a good computer to run them. RTS and FPS are definitly better on PC, unless you want to spent thousands of dollars on a good graphics card and processor to run them at top notch. In general, you are spending more money on the PC than it would cost you to buy a console, games, and accessories in total.
Console Games: A little more expensive, but you can run all of the games at top notch without worrying about lag. Most people who are on LIVE and PSN have good internet connections so every time they play, they rarely lag. As I mentioned before, it's also cheaper to buy a console with games and accessories than it would be to buy a good gaming computer and games. By the end of the day, good PC's would cost over thousand of dollars while consoles would cost less than $500.
I have both a console (Xbox 360), a desktop, and a laptop. My laptop cost $1200 and it`s pretty decent for running games. I still can`t run games at top speed. My 360 on the other hand, can run games perfectly over LIVE and I never have to worry about lag.
To answer your question, I would say console games are better because you never have to worry about lag with them. I do like PC games but you will never be able to run games at top speed without a good PC.
FYI: Modern Warfare 2 got delayed for the PC, it will come out Nov 27. Consoles is Nov 10. This is one reason why consoles are better than PC`s.