It depends on what you have to do to "mod" the console. In the USA, the main thing stopping console "modding" from being legal is the DMCA, which, in a nutshell, says that you can't modify the operation of a device for the purpose of circumventing copyright protection, with the exception of for the purpose of unlocking mobile phones.
A mod like, say, softmodding a Wii to play bootleg games? DMCA violation.
Installing a modchip in pretty much anything? DMCA violation.
A mod like, say, removing the cart blocker on an N64, letting Japanese games play in a US system? Doesn't allow the playing of bootleg games or the copying thereof, so no DMCA violation.
Chances are, if it's a mod worth doing, then it's illegal.