Small external USB hard drive that works great with consoles.
Nintendo Wii with WODE or USB Loader from Homebrew Channel
On Wii, you install the games with WBFS Manager or Wii Backup Manager. You can format the disk with most formats, including the Wii-specific WBFS through WBFS Manager.
Xbox 360 with JTAG or Xk3y
With JTAG, you extract the games to the hard drive and then it needs to be formatted with FAT32. If you use Xk3y then NTFS and a number of other formatting apply, you put whole .iso files on your hard disk.
Playstation 3 with CFW
PS3 only wants to read FAT32, the games are extracted to the hard disk, some games have too large files and must therefore be put on the internal disk of the PS3.