Regardless of what platform you get it on, you'll have a blast.
That said, the PS3 version runs at a slightly lower resolution than the 360 version, and folks have noticed some missing pieces of the environment on PS3.
360 - http://ded.zenblue.net/360_RDR_arrows.jpg (arrow point to stuff missing in from the PS3 version)
PS3 - http://pds20.egloos.com/pds/201005/19/09/a0037809_4bf356bdbd11c.jpg
All this aside, the game itself is great. If you have a choice of platform, I'd recommend the 360 version, but if you're a PS3-only user, none of these issues will ruin the experience.