Okay, so everyone's covered (or will cover) the expected classics. So I'll just mention Dead Space: You watch a log from Nicole. Then you find yourself on a shuttle, hurtling through hyperspace. The window opens up to a breathtaking view of the Ishimura. Did a great job of setting the scene, and snagged the player with a little emotional hook (Finding Nicole)
And who am I kidding; here, have a few oldies:
Thief: The Dark Project. "I was a... kid."
Grim Fandango: "Sorry for the wait, Mr. Flores"