I buy and play games for two reasons:
Story and gameplay.
Story is well.. the story. Plot, setting, and characters are all part of a story and can really make a game shine though it certainly doesn't break a particularly fun game.
Gameplay: With the advent of MMOs, it's clearly obvious: games don't necessarily need to be fun to be a good game. They can be addicting through the promise of incremental rewards for your devotion to the game. There's nothing quite like a game that can suck you in.
Also, games are governed by a set of rules on how things are done in that game. I enjoy going through the game spading for info to become an awesome player of that game.
ex. Don't put any str/per above 7 upon character creation and ever after that in Fallout 3 because with the help of items or quests, you can boost them to 10, the point limit of a stat in that game.
I was gonna use Braid as an example of a game that was art, but it was also entertaining. It had a pretty good story too, though execution of the story could've been better.
Also on OP's example of an "arty" game. That actually sounds like loads of fun to me unless it's just a long game of "press button to kill jew" followed by a long boring message at the end of the game consisting of DON"T KILL JEWS because honestly, that would just be boring. The only thing to make things worse would be QTE QUICK PRESS KILL JEW BUTTON OR ELSE--- oh no too late jew kill you
If you're just moving your character from point a to point b to press button x or your "kill jew" button, then that's just absurd. I probably wouldn't even read the goddamn book if it was just a long message of jew killing is bad.
Execution is key for these types of games. If it was the story of a former nazi officer that got away from charges and is living life as regular is he tries but is haunted by dreams of his past where he must confront and relive each order he faithfully carried, followed by the eventual ending where you choose whether or not you kill yourself, sure I might play that.