Visual Novels are like... pretty much the best thing ever.
...and I'm terribly disappointed that neither Umineko, Tsukihime nor Clannad has been mentioned yet.
...so I'll just mention them all instead. Like I just did. Read them. All of them Also, Fate/Stay Night. Read that one too. Tsukihime and FSN got some hentai scenes, but Umineko and Clannad are "safe". Hentai scenes are NOT valid reasons to avoid Tsukihime and FSN though.