An example of something that pushes me OUT OF the story is when we have an ensemble scene with multiple characters interacting, and then suddenly we're seeing one (or worse, more than one) character's thoughts*. That kills any sense of "being there" I might have had. The writer might as well just have one of the characters say "Yeah, but we're all just drawings on a page..."

Where I could take either thought balloons or narrative panels is that kind of story-opening "Captain's Log" narrative, where we're getting a setup through a single character's point of view. I'm mostly agnostic there, although I tend to like narrative panels if it's supposed to be an actual recording of someone speaking, like a real Captain's Log.

* Obviously excluding any kind of telepathic communication.