Actually some sort of OpenGL prevails on the Macs, and Open GL prevails on Linux. So for the games on these OSs, OpenGL is quite the king.
PS3 games use an OpenGL breed. XBox uses DirectX.
DirectX is proprietary of Microsoft, and Microsoft invested big time to push video card companies and game development companies to focus more on DirectX. The whole DirectX framework, the tools, the documentation, the operating system, all were made so developers would find it easier to develop for this platform. Also don't forget the aggressive marketing (on all the video cards you only hear about DirectX on the front cover, even though all have OpenGL instructions; all the games present their DirectX features, even though some engines work with OpenGL as well).
DirectX 10 new features were already implemented on OpenGL, so we can't say DirectX has some kind of cool stuff that OpenGL doesn't have.
So, in one phrase, all is due to the fact that most users have computers with Windows, and Windows is MS, and DirectX is MS.
Later edit: I have to come back to my answer, because I found a cool story on DirectX vs OpenGL. It seems like not that just Microsoft put a lot of effort into DirectX R&D, but also OpenGL Board and Graphic Cards manufacturers didn't do much to help OpenGL take off. More here: http://programmers.stackexchange.com/a/88055