In the 1930s, radio was the primary means of electronic communication around the world. It had yet to be fully replaced by telephone networks, and television was far in the future. Radio was both a news source and an entertainment source. Dozens of entertainment programs aired during the 1930s, including the first soap operas, melodramatic stories sponsored by soap and other goods.
In contrast, film was still in its infancy, but rapidly gaining ground. Silent film had just died off, replaced by talkies, films with synchronized sound and music. The musical film became an enormous moneymaker, as did cartoons, which had previously been relegated to pre-feature status.
In comparing the two, one must be aware of the Serial Film, a form that has since been replaced entirely by television. Before TV, studios would film long movies and cut them up into chapters, which would play at the local theater every week, keeping public interest with cliffhangers and guest stars. These serials with their special effects and overblown stories competed directly with radio, which had the financial edge; anything you could imagine could be provided with sound effects.
Until the development of television, radio was the cheapest and easiest way to broadcast a continuing story. Serials died out as feature films became longer and more expensive, and radio was an easy alternative for families on a budget. Another big draw of radio was the Fireside Chats of President Franklin Roosevelt, which started in 1933; he addressed specific concerns over the radio without the usual big production of a speech and thus connected directly with the voter. Although he could appear in newsreels before feature films, these lacked the personal touch of fireside chats.
Essentially, in the 1930s radio and film were in an uneasy truce, one that would soon be broken entirely by the rise of television. Radio programming has never been more important than in the 1930s, while film continues to be a big draw to this day.