Whilst Xbox and PS3 are moving in on the games console fitness scene, the king is still:

Wii Fit

You’ll need a Wii console (either white or black), a Wii Balance Board and Wii Fit Plus. The Plus is better than the original Wii Fit as it now contains some calorie advice. The balance board is the same.

Here is a Best Price Finder for the Wii Fit Plus and Balance Board package. (This does not include the Wii console):

If you already have a Wii, balance board and the original Wii Fit disc, you can upgrade the software – buy Wii Fit Plus – Game Only (also called “Solus” in some stores).

Zumba Fitness Party

The new craze. Zumba Fitness for Wii

Also: Zumba Fitness for PS3 (requires PS3 Move)

Zumba Fitness (requires Kinect)

Xbox Kinect

Most of the emerging exercise games for Xbox need the new Kinect add-on which can track your movements. Buy Kinect Sensor with Kinect Adventures (Xbox 360)

PlayStation 3 Move

And the best exercise games for PS3 need the Move add-on which also tracks your movements.
Buy PlayStation Move Starter Pack with PlayStation Eye Camera and Move Controller (PS3)