Two decades ago, video games, like comic books before them, were written off as a form of entertainment strictly for children. Just like the comic book industry eventually produced mature, extremely-not-for-kids books like Alan Moore's Watchmen or Garth Ennis' Preacher, the video game industry has produced mature, extremely-not-for-kids games like BioWare's Mass Effect and 2K Games' Bioshock. These games can have violence, sex, and very strong language, and are not appropriate for children.
Fortunately, each of the three major video game consoles (Xbox 360, Nintendo Wii, and PlayStation 3) include built-in security features to lock out mature games and ensure that kids can't play anything you don't want them to play.
The Xbox 360 and Wii use the Entertainment Software Rating Board's rating system. The ESRB classifies video games into a variety of age and content-based categories, like movie and television ratings. Games rated E or E10 are appropriate for most audiences, and can be compared with G- and PG-rated movies. Games rated T are most appropriate for teens and older gamers, and can contain violence, suggestive situations, and occasionally strong language. They're the game equivalent of PG-13 movies. Games rated M are intended for users 17 and up, and can include nudity, extreme violence, and very strong language. These are the R-rated titles of the gaming world.
The PlayStation 3 (and Sony's portable gaming system, the PlayStation Portable), use numeric levels. These systems can set security levels from 1 to 11, where 1 only lets the most tame games through and 11 plays nearly all titles. Though they can require a little more experimentation than the Xbox 360 and Wii, the PS3 and PSP can still help control what games your kids can play.
These three guides will walk you through setting up parental controls on each of the three major systems, along with the PSP.