I'd have to say movies are far more moving than games. In the end I think it's because they're actual people, even though they're actors real people trump polygons any day. I don't tend to blubber, but I can remember two movies in particular that have made me tear up. One was Shaun of the Dead, which is really at it's heart a comedy, but the scene where Shaun shoots his mum after she turns into the zed word. It's really heart breaking watching a son have to kill his mother, and I'm amazed Simon Pegg was able to act that well.
The second movie I think of is Come and See, and it didn't really make me tear up. It just made me feel numb and dead inside. Watching the horrors of war take hold of a 13 year old boy, the atrocities committed. The movie has a much more profound effect because it's based on actual events during Operation: Barbarossa and the invasion of Belarus, the events portrayed happened to actual human beings.
Video games are fun, but I've never had one touch me emotionally. I just have this disconnect between seeing polygons on a screen, and seeing actual human beings. I didn't cry when Aeris was killed, when I played the Nuke scene in Modern Warfare I thought "Hey, this is cool" because it was a digital recreation. It takes the human element to create true empathy, and video games so far lack that.