As Nonnie said, you have to learn the rules before you can break them. Even then, you better have a damn good reason for it.

Johnny Got His Gun (the book behind Metallica's "One") foregoes much punctuation because the information in the story is supposed to come at you like a torrent, representing Johnny's rapid, frightened thoughts, and giving you little chance to recover. It's one of the saddest books in the English language, and probably one of the best anti-war arguments I've ever seen.

The author knew his stuff, though. I couldn't decide to write a horrific post-war story and fuck the rules the same way he did, nor could I expect the same result.

It's worth noting that you can change dialogue styles within a story if you have a good reason to. If your characters IM each other with Skype or something, or send each other text messages, then you should switch to a format more indicative of the medium through which they're communicating. Switch back when they start speaking, though.

Voice comms like Teamspeak would get ordinary dialogue tags, since the characters are merely speaking to each other, just not in person. Phone conversations are the same way.