Done right, I'm definitely interested in the writer's story. I love the grounding that readables provided to Deus Ex - and I must say their almost complete absence (and replacement with "talk bullets) in Invisible War was both annoying and definitely contributed to the less convincing game world.
Likewise, the various logs and email in System Shock 2 helped to give you the sense that there were other people out there struggling, even though you didn't generally get to meet them. It really helped hammer home some of the horror of what was going on.
Atmosphere and the game world is a great way to tell a story, no doubt, and probably the most immediate way - and Bioshock definitely pulled it off very well. But these other things also work, and for some games, they'll be more applicable. I like the Half-Life games, and very much like the world Valve has created - but I find the worlds of Deus Ex or Thief to be richer, and look forward to revisiting them more.