Probably the oldest known method for sharing stories is that of cave paintings. Being in that there's no need for any form of common audible language the story teller and their audience had only share in images. These images would depict aspects of the story tellers' lives and allow the audience to share in stories that might otherwise go untold.
This method is of course very primitive in that there's no real language involved, but as language did develop and people found more intricate ways of conveying a story the methods involved in narratives became much greater.
Such methods that still stand the test of time are books, films and plays. What makes all of these forms of media work as effective story telling devices is the sense of involvement that each provides the audience.
When watching a film, if it's a decent one at least, the audience is taken in by the plight of the character. They'll feel connected and generally be emotionally effected by what happens to that character. Different genres in films, like other mediums of narratives, make an impact on how strongly the audience will feel connected to the characters of the film. For example you'd feel much more inclined to emotionally immerse yourself in a drama or a psychological thriller than a comedy as these films are created with the sole intention to make the audience have a certain sense of involvement with the plot and characters. The writers and directors will also go to other lengths to involve the reader in the story, directors will set up shots to look a certain way, writers will use techniques such as dramatic irony and pathetic fallacy. All these techniques go to boost the viewer's sense of involvement with the story, be it through building tension or just allowing the audience to relate to the feelings of the characters.
When reading a book you can also feel a great amount of immersion in the story. This is due to the fact that a book is generally a far greater undertaking than a film. There's a lot more room for the writer to go into great detail about every aspect of what's happening and as a result the reader can greater immerse themselves in the story, using their imagination to map out exactly what they're reading.
Computer games are one of the most modern forms of story telling. Where as other medias cause the audience to read or watch from merely the perspective of the main character, video games allow the audience to immerse themselves greatly within a story by making them the main character. I personally find it much easier, if the game isn't garbage at least, to be sucked into the narrative of a computer game than say a book or a play. Similarly to these examples of story telling, games also make heavy use from genres, it's much easier to reach an emotional level of involvement though playing an RPG or 'role playing game' than playing an arcade hack-and-slash. Game developers use a variety of techniques to reach this sense of involvement that the player gets. One of these techniques, and arguably the best example if done correctly, is the use of cutscenes.
Personally, if a game doesn't draw me in enough, in terms of story, I'll skip the cutscenes as I'd rather continue with the gameplay. If the story is good enough, however, I'll eagerly anticipate every single cutscene, hanging on the whim of the writers and developers. My personal best example for this has to be Gears of War 2, unfortunately being the only title in the series that I've completed the campaign mode of so far. The game contains a group of characters that I easily became emotionally involved with, partially through the camaraderie during playable sections but mainly due to the preprogrammed actions shown in cutscenes. One such example of this is the moment where the character Dom finally finds his wife after searching for the majority of the game, who has been imprisoned by the antagonist group for 11 odd years. Due to the amount of time spent listening to Dom's stories about his wife it's easy to be drawn in and feel a large sense of involvement.
Another technique game developers often use is a non-linear narrative tree, a way of having the player alter the direction of the game through their own decisions and preferences. This method allows for the audience to almost have a conscience about previous decisions they may've made and as a result will cause a deeper and deeper sense of involvement to the story itself.
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