It really depends on the console, but generally I'd say grey looks best.
Black's boring, white can look good but depends on the console design, but grey I think stands out in a way because it's a bit different, but is still fairly 'normal'. It's fairly unique to games consoles too - you don't get many other grey electronics, everything's always black.
PS2 for example looks great in black, and other colours probably wouldn't look as good.
Gamecube looks great in purple, or orange, or silver, or white, and the black one is easily the worst-looking.
Can you imagine a purple PS2? Horrific.
N64 and Playstation, although each a different shade of grey, both look great.