A space heater is better.

First, neither are 100% efficient. Entropy doesn't allow that. The other issue is the designs themselves. While an xbox is designed to cool itself, it's not designed to dump its heat into the room like you think. It's designed to keep it cool enough to function. Also an xbox is going to transfer that heat to other parts within itself, like say the case or parts of the frame. Its heating it's own mass.

Think of it this way. Water is heat in this example. An xbox is a certain size water faucet over a bucket with several small holes. The holes are just big enough to keep the faucet from filling up the bucket completely (say it fills to an inch below the brim), but not all of the water is just pouring out the bottom either. While, a space heater is the same setup but with a bucket with several very large holes. The water in this bucket is pouring out at a higher rate and the bucket isn't filling up nearly as much, say about a foot under the brim. See the difference. Both can provide the same effect, no water spilling over the top, but one is designed to dump water into the surrounding at a higher rate.

So while the xbox might work to heat the room it also uses around 245W of continuous power with a max of 280W. Not all of that power is going towards heating the room. A 250W space heater is ~$16 on amazon. Cost per watt goes to the space heater.