OK, I need some help understanding taxonomies. I know what they are, I know how to make them, but I just don't what they're actually good for. 

So let's say I have a custom post type for video game reviews, and I want to separate the reviews by game console. XBox 360, PS3, and WII. So, from what I understand this would be a good use for taxonomies. 

I can make a taxonomy called "Video Games" and use the hierarchy feature for the "sub-categories" XBox 360, PS3, and WII.

OK, so I get that, but what's the difference between making the taxonomy and just using categories and sub-categories? What are the advantages of taxonomies?

I just don't see the difference. Can somebody explain this to me?