Sometimes, a whole game depends on these, as the opening can be the main roots of your story.
My favorite is Halo 2s, how about you?
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Hard to choose. Metroid Prime 1s is simplistic yet fantastically done. Dark Souls 1 crafts an entire history of a strange world. Bloodborne's has so much mystery surrounding it as well as setting up how -blam!-ed up the city is.