Your games/consoles are keeping the correct pixels/aspect ratio and not stretching to fit your screen ratio, that's all. Which seems like a good thing to me.
Let's say that you want to play a Neo Geo game which has a resolution of 320x224. The closest 4:3 resolution you can play it at is 320x240. So the game is displayed at 320x224 in a 320x240 mode, which means you'll get 8 blank lines at top and bottom. That is, your image is a little short of filling up the video mode. You could stretch the image, which would distort everything and look terrible, or you learn to ignore the black lines.
Next game is at 320x240, same video mode, no problems, image size is slightly taller and no extra black lines. There are many different games and many video modes. This is why your different games/consoles have different image sizes, despite the same screen ratio. They are being shown correctly, or as correctly as possible on your monitor.
Reason why nobody has responded until now: People keep on coming back and asking this same question in different ways.
Mostly they are talking about CRTs, but the ultimate answer is always the same: learn to love the black, your games will look like crap without it. Make your bezel to fit a full-sized 320x240 mode/game. Some games will have black bars at the side, just learn to love it because, in general, it means your games are looking as good as they can.
People seem to have this unrealistic expectation that every one of the thousands of games & games systems they might play will fill up their screens completely without any further adjustments
If you have a CRT you can adjust vertical/horz screen size to fit each time for different games. Note that this is actually stretching the pixels themselves (rather than the image), so games can still be at the correct aspect ratio. This is something you can't do with LCDs.
Some people even add external pots/controls to make it easier. Most people don't bother.