The way the PS3's memory system is divided into two separate 256mb partitions, and since Sony itself has been less than cooperative with Bethesda on development, games like Skyrim and FNV have memory issues, and eventually slow down to a crawl.
The 360 doesn't have that division and, consequently, the games perform much better.
On the topic of strategy games, there's something out there for just about everyone. Starcraft and Warcraft are fairly easy to get into, and so are most of the C&C games. If you're looking to try more complex games, I'd recommend Rise of Nations; it's older, but still terrific. Like Risk in that you play on a map of the world, but then fight the battles in real time like other strategy games. And like Civilization, the game goes through the whole of human history, from throwing rocks to tanks and aircraft.
And there's also the Homeworld series, a personal favorite of mine. It's a 3D strategy game set in space, all fleet-to-fleet combat. The first two (Homeworld and HW: Cataclysm) are very well done.