My usual answer is similar to what Dave said -- I can't be bothered to set up my G25 every time I want to play a console game, much less when it means I'll be playing it through a smaller screen (17" CRT monitor vs 27" CRT TV), with degraded image quality, a lower framerate, and a bit of control lag (capture card). Building a rig to play in front of the TV would be too much work for too little payoff in my case, and would either be flimsy or take up too much space.But ... I really don't understand why do you have a G25 and still play console games using a controller. Even if you do it very well. They're DRIVING games. How can the extra-pleasure of playing them with a wheel and pedals be irrelevant to you?
Beyond that, I didn't like GT4 any better with a wheel, GT3 is too simplistic and vague to be worth using a wheel, and I couldn't get used to the wonky force feedback in Enthusia. I don't have a PS3, and the 360 doesn't support the G25. So, PC games it is.