I watched the KZ2 trailer/gameplay again and then Gamespot's Live Demo of COD4:
http://e3.gamespot.com/live.html?om_act=convert&om_clk=livesched&tag=livesched;show;1#
It features a similar setting, conditions and atmosphere to the KZ2 trailer and really it doesn't impress as much as KZ2.
(pics from Rangers @ B3D)
COD4 looks best in the daytime setting with bright lights - where I would say it looks superb - but still it looks like a "game". It never approaches the look of CG (then again that's not really it's aim since it's going for pure realism).
I would say the reason KZ2 impresses so much is because it really comes close to achieving the ideal of "CG quality" graphics. I think the "look" of CG is seen as something of a holy grail by gamers everywhere. KZ2 gets closer than any other game - whether that's down to it's deferred rendering technique with FSAA or employing post processing, grain filters, object based motion blur, depth of field, animation, dynamic lighting effects etc - however they are rendering the graphics it's got that CG movie look.