The Wii's CPU, Broadway, is basically a faster version of the GameCube's Gekko chip, with some small additions to the core architecture. Unlike the Pentium III based Xbox 733MHz processor, Broadway at 729MHz is a PowerPC processor, and PowerPC processor's have very different architectures to the x86 based Pentium. It is very specialised and a very efficient chip. PowerPC processors, as a rule, give much better performance per MHz than Pentium chips because of how they are made, and Broadway is no exception. Even ignoring this, speed vs speed doesn't mean as much as it used to.
Back when it did, AMD and Intel were going head to head for faster cpu speeds. The AMD Athlon first reached 1GHz, then Intel would release a version of the Pentium III that was faster still. Things changed then when the Athlon XP was released - Intel countered with the Pentium 4 and often with faster speeds, but it didn't matter. The XP was just a better chip, because of its architecture. AMD even took advantage of this with its chip-naming scheme. An AthlonXP 2000+ would run at 1.6GHz but be as fast as a 2GHz Pentium 4. Why do you think that the latest pc processors are barely scratching 3GHz? I had an XP 2000+, then moved over to a 2500+ which actually ran at 1.8GHz. When Core 2 Duo was released, the first one I bought ran at 2.13GHz, but was significantly more powerful than the XP 2500+. The cheap Pentium chip in my media pc runs at only 1.6GHz but even that is better than my old XP 2500+. The very latest Intel processors, the i7's and i5's, powerful quad-core chips, start out at around 2GHz and go up to just over 3GHz. So, you see that speed is not as important as a well-designed processor architecture.
So, when the GameCube was released with the Gekko, a processor roughly 300MHz slower than the Xbox's chip, those who knew anything about CPU's weren't worried about the difference in speed. They knew that the Xbox chip was an x86 chip that had architecture dating way back to the early 80's for compatibility (286, 386, 486 - then the Pentium, which was unoficially the 586, and so on). They knew that PowerPC was extremely efficient, and that the Gekko would have no problems competing with the Xbox's Pentium-III based chip. So, Broadway. It is basically the Gekko, but with almost double the speed and a few changes to the core architecture to make it better suited to running the Wii and the way Nintendo - and by extension, third-parties - develop their games. You might ask, why would Nintendo stick with an older, slower chip? Well, that's all to do with Nintendo's philosophy this generation and you can read about that anywhere on the 'net (and you probably have, more than once).
The processors in the PS3 and 360 are very fast, more modern. The 360 processor is a PowerPC chip, of a different family than the Broadway. The PS3's processor is, typical of Sony, and like the PS2, custom-made for the job. They are more powerful than the Broadway, sure. But all three have their advantages and disadvantages. So, this was somewhat long-winded, but I hope its helped you to understand a little more.
