Yes but it does come a free month of Xbox Live Gold when you buy the console. Not to forget that you will also get another free month packaged with GTA IV. So that's two free months of Live right there. Spend $20 for a 3-month card, and you'll have 5 months (almost half a year) at your disposal. The multiplayer will most likely be better on Xbox Live because the 360 console (Pro and Elite) will come with a headset and you're on a stronger network. PSN is free yes, but you sacrifice a better online store and in my opinion, a better service overall.
Achievements are good fun and there is the DLC but you will again have to pay.
PS3 version though will be better BY ITSELF but as far as how GameSpy's servers handle all the action, there could be a big difference with the online aspect of the game.
If online isn't that huge of a deal to you and it doesn't solely decide your direction of purchase, I'd go with PS3. Just make sure you have a bluetooth headset ready.