There are no active threats that affect Playstation 3 consoles as i know so far. Its file system is protected in such way that 3rd party applications are not allowed to tamper it.
Everything is susceptible to spyware malware and viruses but the PS3 is a very closed system.
I would imagine that if you were running another OS on it, that your exposure would increase, but as a general rule you are basically safe on the PS3.
The PS3 OS system is CellOS which is a branch from the FreeBSD project. It's known as Berkeley Unix. However nothing is written in stone. The FreeBSD is an free Unix-like operating system.
So i thing a programmer could most likely temper the OS system.
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That's from SONY:
As with any hardware and software that is connected to a network, the PS3 can also be prone to malicious attacks when connected to a network. However, we have not received any reports of such attacks to the PS3.
We do not recommend installing any software that is not authorized by Sony Computer Entertainment America (SCEA) as they may contain viruses and can cause damage to your system.
If you have concerns of malicious attacks, you may wish to verify the firewall capabilities of your network with the network administrator, person who set up your network, or your Internet Service Provider.
We also recommend installing a firewall program between your Internet router and your PS3, in addition to regularly updating your virus definition files. Also, we recommend that you always keep your PS3 updated with the latest system upadate.
If you think your system has been infected with a virus, you can attempt to get rid of it by restoring the PS3 system. This is not the same as restoring the default settings of the PS3.
Restoring the PS3 system will completely reformat the hard disk drive and delete all data. !!!
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I thing almost the same goes on XBOX 360 consoles.