It depends on the generation of consoles as the answer to your question can greatly differ with each wave on consoles.
For the PS3 / XB360 generation:
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Through and through the PS3 is a more powerful system than the 360 but that doesn't necessarily mean the games ran better or smoother on the PS3. Developers know there is a larger install base for the 360 so that is their main priority when making their game. This holds especially true when a game is released primarily for the North American market (360 outpaced the PS3 by a pretty decent margin).
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They can afford to make the 360 a priority and basically port their project to the PS3 as the extra horsepower helps. Its not perfect though and hiccups occur resulting in
some degraded PS3 games (lower framerate, resolution, overall buginess). Look to Bethesda games

. The majority of their customers are happy (larger install base, 360) and this is not nearly as noticeable with the games that don't push the hardware.
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Personal Preference: I got most multiplatform games on the 360 with the exception of games in a series and fighting games. I kept my Demon Souls and Dark Souls together on PS3. There are far more controller options on PS3 for fighting games (arcade sticks, saturn controller clone, most USB controllers).
For example Rayman originated on Playstation but feels more like a Nintendo type of game so I would prefer to get the whole series on Nintendo consoles ...
Well, more accurately Rayman was a Jaguar game and had some nicer features added to the PS1 version.
