I have both and I prefer the Xbox. The graphics are better in pretty much every third-party game available to each console.
You need a DVD controller for the Xbox to play DVDs but you need memory cards for the PS2, plus you can't record music onto the cards and eventually play that music in some of your games.
Like I said, I have both, so I'm not really torn or affected by the fact that some games are PS2 or Xbox-exclusive(San Andreas, Halo...).