The multiplayer menu system on Gears of War 2 is a great example on how not to do a menu, you have to go through about 3 different menu’s before you can even begin to play, i belive the game even has to load between menu’s... that’s a big no in my book.
You want something simple with all the options on one page, it should also remember the players choice to these options so the next time game is played the player can just click ok and start playing.
If all the options can’t fit on one page you want a screen that can easy popup, e.g. a list of maps.
Any additional screens should be easy to navigate on a console, the player shouldn’t have to press down, down, down, down, right, ok just to get to it. If you need to bring another screen up have a button as a shortcut.
An example of a good simple menu that works is the first Gears of War, the only thing its letdown on is you can’t really modify the options in game, like Nimrod says it would be nice to have a full menu in game without the need to quit back to the main menu.