is it?
i wouldn't conside the eyetoy itself as innovative, but maybe the way it's used. at the heart of it the hardware is just a webcam, something the pc arena has had years before the eyetoy, and something similar to what ninteno made for the gbc. the way they use the eyetoy as an input device, turning your whole body into a controller is kinda slick. it's been done before with various accessories, but it never really worked until the eyetoy. so i guess it's inovative like the wavebird is innovative, not because it's first but because it actualy works like it should.
I would call XBox Live innovative.
sega offered a similar matchmaking service with the netlink, but it was free iirc. other than that most of the features in xbox live are "borrowed" from things like gamespy or steam. not saying it's bad, just not new.
one innovation from Sony and one from Microsoft that they've brought to the consoles
microsoft brought the concept that profit does not equal success. they didn't mind taking a rediculous hit on hardware to give the consumer a more powerfull system. they also brough mass internal storage to the console arena. sure other consoles (3do/scd/saturn/ect) had a bit of internal flash memory (or similar technology) but nothing to the scale of the xbox.
sony invented the disposable console. make it last at least 91 days and charge an 75% of the cost of a new system to fix it, bolstering sales of hardware for those people who want to still play all of the software they have purchased. (yes i am joking)
i would say the biggest thing sony brought was pretty much universal backwards and horizontal compatability. the ability of the ps2 to play other media (dvd, psx, ps2, cd) right out of the box was very fresh for it's time. even the xbox and gc (released after) didn't offer dvd move playback out of the box.
sony has also had a pretty innovative policy of including new/updated "add ons" with it's system hardware. when the (not innovative) dual shock was released new sony consoles came with it standard. the network adapter had a similar fate, and later was inigrated into a remodel. i can't think of another console company that did that (at least in house).
back when the psx was in full swing sony sold special dev-kit psx's directly to consumers. the psx's were black (or darker than the standard grey) and some of the homebrew games people made were included on playstation magazines disks or jampacks iirc. most of the stuff people made was terrible.