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Skyward Sword and Twilight Princess start slow but I find their context building quite nice so I don't mind that much.

To give an unconventional answer, most Total War games, especially Medieval 2 and Rome. They are fantastic games, with Medieval being the peak of its franchise and a highlight of the RTS genre. But the start of campaigns in those games can be very slow. But if you stick to it, the game gets better and better as your empire expands and wealth grows. Third Age Total War is another one. Yeah, it's a fanmade total conversion mod but it's practically a new game and is fantastic but again, slow start.