Also, keep in mind that consoles are sold at a loss, as demonstrated by the Escapist's story on the Pentagon buying a crapload of PS3s because buying a PS3 is cheaper than buying the equivalent computing part they wanted. Here's the story at Popular Mechanics, too. [http://www.popularmechanics.com/science/extreme_machines/4267979.html]
In essence, they have to make up the cost of the hardware, MAINTENANCE, the console's software, the network's software, and the storage and bandwidth which allows you to retrieve data (including downloading games, downloading demos, and checking out others' user profiles). And probably some other things which I don't know about, and may have been covered above. I'm only listing what I know without needing to go source, because this is common sense stuff. Sony is trying to recoup on the PS3 through game sales, licensing, and peripheral sales, but is still taking a loss (and as of Dec. 14, according to Gamasutra [http://www.gamasutra.com/view/news/26498/iSuppli_PS3_Rapidly_Approaching_Profitability_As_Costs_Decline.php]) they still haven't begun to break even.
Meanwhile, Microsoft only started profiting from the 360 in, I believe, the 2nd fiscal quarter of 2008 (Joystiq does a lame blurb [http://www.joystiq.com/2008/01/24/the-xbox-turns-a-profit/]), though the console was released in late November of 2005.
But the more notable thing here is that we consumers complain as though we have a right to not pay for entertainment services... There's no such thing as a free lunch.