Artists as diverse as Marcel Duchamp, Vladimir Nabokov and Raymond Roussel have been chess enthusiasts. Hans Richter and Jean Cocteau dedicated a surrealist film to it called 8 x 8: A Chess Sonata in 8 Movements which is featured on Google Video here. The music is quite nice, it sounds like a medieval/Renaissance/English folk rock harpsichord mix. Enjoy.
I can entirely see the relationship between chess and art. I can’t speak for other art forms, but in painting the artist must plan many steps in advance and improvise according to the changing surface. However, the key difference I see is that in painting, the artist is struggling with an invisible and sometimes ambiguous adversary.