I know many of us have problems with lag what some people don't know is some or even a lot of it can come from the way we are connected to our TV. Also the options we have chosen for our display.
First thing to check is the display on your console under system settings/display. Make sure you have it set to your native resolution. If you have a 720p tv don't set your xbox or ps3 to display at 1080p/i. It will make your display and response time on your tv slower. Some sets like vizio also have a fast response setting which you needs to turn on.
Next check your TV and make sure it is in game mode and all post proccessing features are off.
What is wrong with Postprocessing?
The key issue with Postprocessing in consumer-grade displays is that it isn't optional. Many HDTVs have a "Game Mode" in which the main purpose is to disable both Scaling/Deinterlacing delay and Postprocessing delay. However, even with "Game Mode" enabled, most HDTVs still suffer from lag due to postprocessing that simply can't be disabled.
If your set doesn't have game mode you can work around that by connecting with a vga cable if your tv has a vga input. This put your tv in PC mode which disables the post processing features. This is what I had to do and it works great.
xbox
http://www.gamestop.com/xbox-360/accessories/xbox-360-vga-hd-av-cable/40681ps3
http://sewelldirect.com/Mayflash-Wii-and-PS3-to-VGA-Cable-53-ft.aspThis will also allow you to play on a pc monitor which has better response times than most hdtv's.