PhysX runs on X360 & PS3 with hardware support, on PC only nVidia GPUs(8/9/200 series) can run PhysX on GPU itself, some games allow PhysX to run on CPU only(Gears of War), some allow it to be run on CPU or GPU depending on GPU present, others only allow PhysX with a nVidia card(Mirror's Edge).
Its your choice, but let me add since now most nVidia/ ATI Gpus are almost equal in price(HD4850=GTS250/GTS 250 1GB, HD4870=GTX260, HD4890=GTX275) its best to get the nVidia cards, you don't have nothing to lose(except DX10.1 but with the launch of DX11 its become obsolete), but PhysX will be used on many upcoming games, just check out This, and no matter what anyone says PhysX looks good, at least for Mirror's Edge it did.
ATI no more has the VFM advantage at nVidia, so get a nVidia GPU, but if you're a red fan then get ATI.
PS-the only other PhysX SDK is Havoc, it does not support HW acceleration, and it is owned by Intel, so forget about any development supporting ATI cards. Since most consoles support HW PhysX it will be used in more games in future.