I had the intention of mentioning Planescape when I entered this thread. It's badass.
I think that the best stories tend to occur in books. This may be just because so many books have been written that there are a few dozen or a few hundred absolutely dynamite works in each genre (thinking now of fantasy/sci-fi). Teams of creators may increasingly be able to match the output of brilliant single authors laboring for years...who knows. Video games will tend to have the problem that movies have: the capitalists with the purse strings think that storylines should be simple enough for all the cretins out there to understand. Some great movies/games get made, when their intention is to have a great story, but the best stories are mostly in books. Not comic books, not anime, not video games.
But I take it that Molyneux's point is that video games as an interactive medium, when they are intended by the developer to convey a great story, are particularly well-suited to doing so. I don't personally see how control over outcome makes a story great. Choose-your-own-path books (remember those?) didn't seem to offer potential over novels in which the outcome is set in stone by the author.
Music and visuals have a primary effect of making observers think a story is better than it is.