There is already a Linux kit for the Ps2, and I'm pretty sure it would be possible to make a Ps3 act like your average desktop computer, but then you'd definitely have to buy some sort of software for your Ps3.
However.. windows = microsoft...
yeah.i don't think microsoft will want to support an enemy and i dont think apple will want to put their os on a non-apple device.but u can probably still install linux and possibly use macforlin since it is powerpc based.
OMG rihgt682 was partly right, you can install OS's on the ps3 idk about the other consoles, but on the ps3 you can install multiple consoles, and it might come with a preinstalled linux os, check this out
XBOX 360 can sync with PC's running Windows XP to stream music and transfer files etc apparently, i haven't heard anything else, that info's off their press release, you can find it anywhere or theres a big article on howstuffworks.com :)