Games are more like mini series, and compared to those they are about equal. Movies have the benefit of packing everything in a couple hours of delivery which gives them a lot more impact then games can.

Games are better at keeping your attention and are easier to follow, I find they require a lot less mental effort then watching a movie. Playing a game while tired is a lot easier then trying to watch a movie. However a movie feels much more satisfying once the credits roll, then quitting a game after a couple of hours playing.

Comparing like for like, movies come out on top.
Moon vs To the moon, movie wins
Children of men vs Half-Life 2, movie wins
Spirited away vs Ni No Kuni, movie wins
Tron Legacy vs Halo, movie wins

It's like saying books are better than movies.

There is one more dimension (interactivity), so it's different.

Books are. But again they require more mental effort.

Each medium has it's strengths

Books
+ Enjoy the story at your own pace
+ Insight in characters thought processes
+ Flesh out the world and characters to your own liking

Movies
+ A picture can be worth a 1000 words, much faster delivery
+ Music perfectly synchronized with the visuals
+ Acting, editting, pacing all work together to give the story the greatest impact.

Games
+ Enjoy the story at your own pace and influence what happens.
+ You get to be the main character.
+ Detailed worlds that you can virtually live in.

I could list more good films than games.

I watch more movies than I play games.
But every genre has its classics and every genre has its must watch/plays.

edit: I also read a lot

The difficulty in the creation process is also exponential, as you multiply the different medias synchronisation and add levels of interactivity.

The less imagination you need, the most work is needed during the creative process.

I love games as much as the next person on this site but movies are the good stuff to me too. I honestly can't choose between watching Once upon a time in America again or re-playing MGS3.