I don't know if it's my favorite, but one of the most memorable openings in a game was definitely Bioshock.
All you hear are screams and a plane going down, and all of a sudden you find yourself in the middle of the ocean along with burning wreckage. I don't know how long I was stationary for until I realized, "Oh crap... this isn't a cut scene!" and started swimming forward towards this beacon in the middle of the ocean (all while the tail of the plane sinks into the dark abyss). You open the door and the lights flicker on, only to see a giant statue holding a sign that says "No gods or kings, only man." and as you pass it you find yourself going along a pathway that leads to this... submarine. You enter it, only to hear a voice...
"I am Andrew Ryan, and I am here to ask you a question. Is a man not entitled to the sweat of his brow?
'No,' says the man in Washington, 'it belongs to the poor.'
'No,' says the man in the Vatican, 'it belongs to God.'
'No,' says the man in Moscow, 'it belongs to everyone.'
I rejected those answers. Instead, I chose something different. I chose the impossible. I chose...
Rapture.
And then you saw it. That's when you knew this game was going to be unlike anything you've ever played before.
