Blambot Comic Fonts and Lettering exhaustively goes through dozens of variations of word balloons and lettering choices in them.
I have often argued that in dealing with chat bubbles in MMOs, we should just steal these conventions, because so many people are familiar with them just by osmosis, even if they are not comics readers (many of these conventions are used in the funny pages too).
We had huge debates on SWG about whether to use “plain chat bubbles” or to invent something that was styled more like Star Wars. Plain won, in the end — and we ended up supporting regular, shout, thought, whisper, musical, caption, and more.