Console Audio and Commentary Capture - Is it possible to capture both?
There are numerous ways to handle this and none are particularly difficult, though some are mildly technical.  The most direct is through use of a mixer or a capture device with multiple audio inputs.  Most input devices only take a single stereo audio stream to go with the video input, so without buying a specialized capture device, the most promising way to do it live is with a mixer.  

To use a mixer, you would branch off the audio from the video, feed the audio from the console in to the mixer while also feeding a microphone in to the mixer for commentary.  The output of the mixer (most likely a tape out) would then go to the audio input for the capture device.

Mixers add a decent amount of cost in most cases though, so if you want to avoid that, the easiest way is to dub after the fact.  You can record the video from the console directly and then record a separate audio track once you have the video edited however you want it.  The nice things about this approach is that it has no additional cost, allows you to fine tune your commentary to your final video, and allows you to substitute different commentary tracks over the same gameplay footage.