Trep's Pong example is very extreme and I suppose you can also most exclude sports games as well.
But, think about all the other games available - the majority of platform games all have an underlying story : Ratchet & Clank, Spyro, Crash Bandicoot, Sly:Thievius Racoonus ; the list is endless.....
Most FPS games have a storyline : HL/HL2, Deus Ex, Medal of Honour, Call of Duty, Doom, Project IGI, NOLF, Splinter Cell, Halo - another seemingly endless list......
RPGs : NWN, Diablo, Baldur's Gate, Planescape:Torment, Anachronox, Vampire The Masquerade........
If you think about it, surely all these games can be classed as adventure games - they all involve a main character who has an objective to complete, and this is portrayed through gameplay and cutscenes
Disagree with me if you dare