Halo/Halo 2, Unreal Championship 2, Forza, Ninja Gaiden, Jade Empire, Fable. Any game on both like Burnout 3 is better on Xbox (controller, graphics, load times). I doubt the Xbox lags down half as bad as the PS2 does in GTA:SA. Sports games are about equal.
Graphics are better, online play is better, better to mod. And the controller is 10x better than that crap PS2 controller. The analog triggers proved to be very useful for racing and FPS games IMO. The dual analog control is better suited for the majority of games rather than the goidy placement on the PS2, plus they feel like they have more resistance. AND they have 4 player support right off the Xbox with breakway controllers with LONG cords. I think MS did a lot of things well with the Xbox.
edit: I don't know of anyone buying a PS2 now. The mini one was talked about for a few but when people play Xbox they are more impressed from what I've seen. People want to buy a Xbox now. Those old PS2s are dieing hahaahha.