The train ride from Half Life. No sitting back watching movies and introductions. You're straight in control and will remain in control for the entire game, there will be no cut scenes.
I've always loved this aspect of the both the game and the opening vs all other titles. The fact the train trip perfectly sets up the mood of the game, establishes your location and contains a slew of great little moments including your first view of the G-Man as well as introducing who you are and why you're there is fantastic.
I'll also give Half Life bonus points for the Hazard Course level it came with, which let you play a very amusing level first to get to grips with the controls, all in the same setting and maintaining a complete level of immersion.
Try to be reasonable... its easier than you think...
