Good thread - and tough call.
I like non-cinematic starts (although I do love most of the cinematics) mentioned here.
So for me it would be Half Life 2 and Portal - minimal information, immersive environments and just trying to suck up every little detail to get a grip on the world you're in and what you should be doing.
I also love the start of Grim Fandango - love that game to death (he he).