I think there are different degrees of it for me. I am very much against reading comic books about things that I think could be done in more detail in a book, or a film, but I do read webcomics that focus more on social aspects, because I find that is boring on film and often so in books. I just don't think visual media can fit so much story in as I'd like.
Oh, well, I'm thinking mainly of fictional stuff. I know edgar allen poe's books got converted to graphic novel format, same with the first two Discworld books. I've also got one of Shakespear's plays in comic book form, and there was a comic adaptation of Roland (faithful to the book, not just stealing the setting) and part of the Illiad.
Arak: Son of Thunder was a 50 issue series, great story and dialog. I especially enjoy comic books that include internal narration as well as short pieces of regular narration (of the sort you'd actually expect to find in a novel. Maybe a few sentences, nothing huge).
I think video games can deliver strong stories. Look at the much-acclaimed Planescape Torment and Baldur's Gate series. I think there are definitely some things you can do in a game that you can't do in a book - like replay value by having dialog trees and branching quests with different endings and such. An example: Indigo Prophecy and, I assume, Heavy Rain. The interactive element is nice, because I feel like I am a part of making the story happen, even if it is just advancing to the next cut scene. I really like the Legacy of Kain games where the protagonists will speak (internal monolog) and comment on the surroundings or a recent event.