Yes it bothers me considerably, I have spent hundreds over the years trying to get my PC to an acceptable pitch, I hate anything that has a 'whining' sound, currently my PC is quite audible but it's the sound of air and fan blades rather than whining motor's which is fine with me, that type of noise I can cope with.
With regards to the consoles the noise alone was one of the main reasons that kept my from enjoying my 360 initially, the optical drives were noisy, the rear fans on the system were noisy, and then on top of that the actual PSU's were noisy, even though at the time I preferred gaming on the 360 once the PS3 was out I decided to invest my time with that console instead purely because it was considerably quieter, it wasn't until the 360 Slim was released that I started enjoying playing on 360 again but that being said my PSU isn't exactly quiet even on the slim, I can hear it even though it's behind the TV but it is a lot better.
I'd say at the moment my PS3 slim and 360 slim are about equal in terms of fan noise although if they could make an fanless PSU for the 360 slim it would be practically inaudible, I used to run my old 360 Elite with the fan ripped out of the PSU, never skipped a beat, temped to rip the one out of the Slim's PSU or mod it with a 60mm running @ 5v.