Getting certain results from a CheckedListBox can be a bit 'unusual'.
It's not clear what you want when the 'Other' item is selected, but have a look at this:
private void ChBMedia_MouseUp(object sender, MouseEventArgs e)
foreach (string item in ChBMedia.CheckedItems)
if (item != "Other")
TxtMedia.AppendText(item + Environment.NewLine);
It may also be a good idea to set: ChBMedia.CheckOnClick = true;