If you do a lot of movie watching with your PS3, the Sony PlayStation 3 Blu-ray DVD Remote is a nice luxury, but it's not a must-have accessory for the PS3.
Plantronics's Pulsar 590A Bluetooth headset is a great choice for mobile power users who don't want to sacrifice quality for convenience.
While it isn't revolutionary, the Wii Zapper is a great Wii accessory--and for the price, you really are getting an excellent value.
The Nyko Blu-Wave Infrared Remote is a cheap and easy way to add IR remote compatibility to your PS3, but the inability to power the console on or off is an annoying limitation.
With their accurate 5.1-channel separation, the Turtle Beach Ear Force X4s are great surround-sound headphones for the Xbox 360--or any other home theater component.