DeadRising has my favorite intro and I still think it has the best cutscenes of any video game ever. The creepiness and intensity of that game was incredible.
I loved Riven's intro. Atrus' mysterious speech, then you link to behind bars, and the Rivenese guy jabbers at you in an unintelligible language, steals your linking book, and then gets shot...by a dart gun. I had my jaw open the entire time the first time I saw that. It's just so immersive. It's also incredibly well done, especially for the timewhen the actor snatches the book from you, he comes into contact with the bar, and for that instant they used real, instead of CG, bars. Then it switches back, seamlessly.
I really, really miss Cyan's games. I wish I could mindwipe myself and play them again, seemingly for the first time. To me, no other company has managed to make more immersive interactive fiction.