Out of the Wii, PS3, and 360, I found them all to be a pain to setup out of the box.
For the PS3 and 360, there were about 80 options you needed to setup before you could reach the menu. Create Account, username, password, email, system update, etc.. It just isn't very user friendly to first timers. If you simply wanted to plug it in and play a disc right away you can't. The most frustrating bit was the choosing a username that wasn't taken and typing in an email/pw with the controller.
I'm sure for first time users and non gamers that would leave a sour taste on the first day.
Which one in particular did you not care for in setting up?