Chromatography is like a tug-of-war between the stationary and liquid phases. No matter how great the solubility/adsorption the component has to any phase, it will eventually be swept by the movement of the mobile phase if nothing else.
Let's say we have two components in a gaseous mixture to be distinguished using GLC: one component is polar (A) and the other component is non-polar (B). Let's also say that the stationary phase (liquid) is also polar. Both components would be swept away by the non-reactive gas (e.g. nitrogen). Since A is polar and the stationary phase is polar, it would dissolve in the stationary liquid phase for some time before being swept away by the nitrogen gas. Then it dissolves in the stationary liquid phase again and continues this cycle until it reaches the detector. B is a non-polar gas, unlikely to be influenced by the stationary liquid. It'll just zip along down the column until it reaches the detector.
The important thing to keep note here is that it repeats this cycle of adsorption and desorption. The more soluble the component is to the stationary phase, the longer the retention time (as it spends longer amounts of time dissolve and not moving).
Just to confirm my own suspicions, you have to follow the like dissolves like rule for the component and mobile phase, but what about the stationary phase?
The stationary phase could be polar as well as the mobile phase being polar in a HPLC. That's when things really start to go wild and we have to go "As a general rule of thumb..". :p