The Australian Consumer Association published an article on Computer Energy Costs. Included alongside actual computers were televisions and console systems. There's a chart here, but the summary of the study is as follows:

The device that consumed the most power in our test when in use was the PlayStation 3, closely followed by the Xbox 360 and Plasma TV. Even when idle (on, but [not] in use), these systems consumed the most power of the devices tested. Incredibly, the Playstation 3 consumed over 10 times as much power as the Nintendo Wii.

Our tests also found that leaving a PlayStation 3 on while not in use would cost almost $250 a year in electricity bills (charged at 15c per kWh). This alone is around five times more than it would take to run a refrigerator for the same yearly period.

The Xbox 360 was not far behind the PlayStation 3 in energy usage costs per year, serving as an important reminder to turn off videogame systems after use.