Wizer is a web based service that allows you to create interactive worksheets. You are able to embed pictures and videos along with other types of content to make complete lessons. Some parts can grade themselves, while other parts, like open ended questions, require teacher review. You can select to provide immediate feedback if you are using it as a study guide. You are even able to record your voice reading the questions or allow students to create an audio reply rather than typing their response.
Check out the Digital Citizenship sample lesson
If you try it out you can share your experiences in the comments!