Good Egg Galaxy

Bayonetta

Bioshock

Bioshock Infinite

Dive to the Heart - Kingdom Hearts

It's such a hook. It works both as a tutorial and an introduction to the deepest side of the game's lore. It provides a good amount of mystery to the player and sets up many questions about the nature of the world and the plot. It's thanks to the Dive to the Heart segment that people are willing to play through the Destiny Islands part later. They want to know what that was all a about.

It's just impossible to not mention the first Doom in a thread like this. I don't know if it's particularly good, but it's definitely good. However, I've definitely seen/played it enough times to not mention it here. Here, you can even play it in a browser: https://dos.zone/doom-dec-1993/ (it feels a bit janky in a browser but it's OK).