I admire the dependability of consoles but have never owned one beyond the SNES either. The games are far too expensive, especially these days when a lot of games tend to disappoint. Besides, with PCs you get the fun of, "Ohh... I wonder what driver/patch/hardware conflict issues will this game bring?" That's like an extra bonus mission or something.
Also, for me, there's no substitute for FPS games than a mouse and keyboard. I've tried using a game-pad on consoles, I really have, but I end up looking like the Wizard of Oz working his pulleys and levers, while the character on screen swings wildly left and right and up and down, all the time firing, firing, firing. I lasted - well, no, I actually didn't last at all when I tried playing COD4:MW2 on my brother's PS3.