For a start if you were to lower the settings/resolution in GTA IV to the same as a PS3 you would not need 4GiB of RAM, probably like 2GiB, granted it is still more than the 256MiB, but XP/Vista/7have a lot more overheads than the console's OS, you probably also have an anti-virus and msn installed, which also uses resources.
Also in the case GTA IV, the PC port wasn't very well made and is probably optimised for cell processors which PCs don't have. With a lot of other games you see less of a difference.
As for the CD/DVDs, I don't want to be swapping discs all the time, and for games I play a lot the disc would probably get too scratched to use after a few years, or even months for some people. I prefer that it goes on the hard drive, although I don't think they need to use that piece of rubbish known as the registry, which really doesn't need to exist.
And you do realise the best you can get from a console is a pewny 1080p, which is pretty much what I'd have had 10 years ago on a PC.