I love it all for different reasons. Games being interactive can really help to convey a sense of desperation and horror if done right while literature can use your own imagination to create fear unlike anything else... add that to the suspense or visual thrills of a good movie/show and toss in the exhilaration of some great music (hey, where's music?) and I couldn't choose if I had to!
As for art, I know this is a simple answer but books, movies, and games are all art IMO.
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