Update: Check out my Playstation 3 auction at eBay.
Why all the shortage? These are the possible reasons that I can think of.
1. Test the water. It would be very risky for Sony, Microsoft or Nintendo to produce a gazillion units of their PS3, Xbox 360 or Wii without knowing how the market will react.

2. Limit the money loss. Sony loses an estimate of $241.35 for every sold PS3 while Microsoft loses $126 per Xbox 360 when they were launched.

3. Viral advertisements. The console launches were covered heavily by TV news, radio, newspapers and blogs around the world. Console shortage makes people camp out in front of the stores days before the launch date, riot during launch, outrageous eBay bids, which are good materials for the news.

4. Prepare for recalls. Nothing worse than having to recall a gazillion units of consoles after found out that there is a bug in the first batch of the hardware. The first production batch is more like a beta version. There will be flaws and bugs that may or may not be addressed by firmware patch. If the patch can’t fix it, they will have to recall the hardware.

Anything else?