The Killzone 2 team came up with an interesting way to use MSAA on the PS3. You can find it on page 39 of the following slides:
What they do is read both samples in the multisampled render target, do the lighting calculations for both of them and then average the result and write it into the multi-sampled (... I assume it has to be multi-sampled because the depth buffer is multisampled) accumulation buffer. That somehow decreases the effectiveness of MSAA because the pixel averages all samples regardless of whether they actually pass the depth-stencil test. The multisampled accumulation buffer may therefore contain different values per sample when it was supposed to contain a unique value representing the average of all sample. Then on the other side they might only store a value in one of the samples and resolve afterwards ... which would mean the pixel shader runs only once.
This is also called "on-the-fly resolves".
It is better to write into each sample a dedicated value by using the sampling mask but then you run in case of 2xMSAA your pixel shader 2x ... DirectX10.1+ has the ability to run the pixel shader per sample. That doesn't mean it fully runs per sample. The MSAA unit seems to replicate the color value accordingly. That's faster but not possible on the PS3. I can't remember if the XBOX 360 has the ability to run the pixel shader per-sample but this is possible.