Yes, the other two have an immediate payoff, but the subtleties can be lost in the heat of the moment. Stories have the exact opposite effect, the entertain briefly catching a person's complete attention, and then, rather than being forgotten, they float around in the back of a person's mind, seeding ideas, asking to be examined and considered.
Stories are the most compelling form of interaction with users on a mass scale.
Any advertising that doesn't tell an intriguing story might as well be wasted advertising.
Ads are short and good stories can run long, so break up those stories into multiple ad spots. This is nothing new, it's been done, but focus on it, maximize the return on this style of advertising, this style of story telling.
What I want to see happen is an ad network that keeps track of which parts of a story you have seen and focuses on showing you the progression of the story, rather than bombarding you with the same story fragment over and over again -- avoid reruns!