I'm the video game nerd in my house and have a PS2, an XBOX 360, a Wii, a PSP, and a Nintendo DS.
That said, while my son will sometimes play on the Wii, which is the best fit if you want a console system, we got our 5-year old a Leapster LMax. The benefits are that it is sturdier for young kids, it has a video screen on its games 'just like Dad's Nintendo' (as well as normal directional controls and a stylus, just like the Nintendo DS), it can be connected to the tv for some games (the LMax games, the normal Leapster games play just fine on this although they lack the tv feature), and the best part is that the games are educational while still featuring characters he loves. He does not know it yet, but for XMas he will be getting a SpongeBob game and an Animals in the Wild game.
He plays it quite frequently and does not consider it a 'lesser experience' because it is educational, and I feel less guilty about him playing video games.