I'm like that with books as well. For example, in Orson Scott Card's novel Shadow Puppets
SPOILER (Highlight to View)
when Bean finally gets his chance to kill Achilles, I have never been so excited and happy and relieved to see the bad guy finally get what's coming to him, and I have never felt that with any antagonist in a movie.
I find with books I can immerse myself a lot easier and have more fun imagining the situations in the novel than I do with seeing them on a screen in a movie and for the most part, can connect better emotionally with the characters. But like you said, they are two totally different mediums and you really can't compare.