It really depends. Take a game like Mass Effect, it has an incredible storyline and the way the player interacts with the game to make it unfold however they choose is a landmark in the use of video games as a story telling medium. However, few games tell a story with such quality WHILE EFFECTIVELY USING THE MEDIUM. There are many games with good stories and plots, but a lot of them would be better served by a movie or book.
I like movies because they can impact you a lot more heavily than books or video games can. I understand that because of costs, technology, and length requirements that sometimes things can be lost when putting a story on the big screen. But the visual aspect lets you connect to characters and in emotionally heavy films SEEING the character lets you connect to them (think the ending of Se7en). Seeing Mills' reaction to the box has a much more powerful impact than words can express.
On the other hand, I love books because they can tell the most detailed story. A great author can paint pictures in your head and without having to worry about the costs, length, and whether something could be portrayed accurately. Plus it is very easy for a book to tell you what characters are thinking in a way that movies can't do.
The TL;DR version-
Video games, movies, and books are all excellent storytelling mediums and they have have distinct advantages and disadvantages when compared to the others.