You can run 90% of Windows games in linux through WINE (Windows Emulator). WINE is free and open source software.
More and more games are also being made natively for linux. In fact, there's already a version of Steam for linux.
I'd just like to interject for a moment as a fairly well versed Linux user and say that WINE has not even remotely close to that much compatibility. There are maybe a handful of the most popular games that actually work to a satisfactory degree through WINE; games such as World of Warcraft or Team Fortress 2 are some of the few games that come to mind when I think of excellent compatibility via WINE.
However, it is true that Valve has now released a beta for a Linux version of Steam, and games such as TF2 are now natively supported due to this. I am personally looking forward to a bright future for Linux gaming, especially as Microsoft continues to lock down more and more options and features of it's browser and likely eventually restrict users to purchasing software exclusively from the Windows Marketplace. Valve has said themselves that they see Linux/GNU has a haven for PC gaming that won't be locked down by major companies such as Microsoft or Apple.
Now, in terms of the actual discussion at hand, I'd have to say that PC gaming beats all of the other three options by far. However, if I had to pick one of the three consoles I'd say that I had the most fun with the Nintendo Wii. I have a 360, and really don't use it ever because I have my PC for 90% of games that are released. If there are 360 exclusive titles that I have an interest in playing, I often don't even get around to playing them or buying them because I have enough games to play on my PC. I will say however that the 360/PS3 are far superior for fighting games, which is a genre that I enjoy quite often with games like BlazBlue, Guilty Gear, Kingdom of Fighters, and Persona 4 Arena. I'll also be picking up GTAV for 360 upon it's release next year.
In the end though, this console cycle I've definitely had the most fun with my Wii. It's had its ups and downs, however I think overall it has a very full featured and rather under-rated library of games. There are obvious choices such as Super Mario Galaxy 1/2, Metroid Prime 3, Super Smash Bros Brawl, Donkey Kong Country and so forth, however the game has also had a great cast of other games including games made by third parties. Some games which I particularly enjoyed were No More Heroes 1/2, Red Steel 2, Monster Hunter Tri, and Xenoblade, among many other games. Additionally a lot of extra fun and potential was unlocked by installing Homebrew applications on your Wii and using an external HDD. Finally, while the Virtual Console was definitely lacking in some places, it did provide an excellent platform for people to enjoy and experience classic games from Nintendo's history.
In conclusion, I have high hopes for the Wii U, which I'll hopefully be purchasing sooner rather than later.