Xbox Live all the way
Crow, it doesn't have to be a monthly fee, just pay for the starter kit (not sure on the price now), you get the headphones, maybe a game or two included, and a year of service to Xbox Live. Another year of service is $50. Thats a little bit more than $4 a month.
With the Xbox Live service, you get a dedicated gamer tag, a buddy list, and content downloads (some are free, some aren't). Plus more features coming on the way. Everyone is on broadband, so lag really isn't a problem.
PS2's online is different, game developers have to host there own server, and anyone, regardless of connection type are allowed to play. Some may lag, some won't. Headphones work in only a game or two, and some require a keyboard. I havn't messed with it much, someone else can give better details about it.
But I do know Xbox Live! is definatly the way to go for online console gaming, regardless of its "fee".