I like video-games; they can be as mentally stimulating as any puzzle, and can often be used to tell a story or present a message as well as any novel or film (in some cases they can even do so better by making the consumer play an active role in it rather than view passively).
My favorite games are Crusader Kings II, Stellaris, and the Total War games. These are all grand strategy games where you control a faction and lead it to supremacy through managing several factors. In most Total War games you control a country in a historical era in the real world. In Crusader Kings II you control a dynastic family in the ages. In Stellaris you control one of many fictional empires in the galaxy.