It seems that in this little corner of the internet, Halo: Reach is generally regarded as the weakest entry in a franchise that isn't really all that great. Which, frankly, baffles me because I think it's a superb FPS, and easily the best entry in the series with the obvious exception of the nostalgia-fest that started it all.
I won't go into the details of why I think Reach is sorely underrated round here, but I will offer it up as an example of a game that knows how to do build up. I suppose it is at least fitting, in a game where everyone already knows the ending before they even fire up the disc.
Not only does Reach do build up very well within the context of its own narrative, I think it's also an excellent peak for the series as a whole to cap out on. Some examples:
Reach finally let you play a level in space, controlling a spaceship.
Reach finally gave the Covenant a sense of threat; they actually do something.
Reach finally let us see precisely why other Spartans aren't as successful as the MC.
Reach finally brought us face to face with Dr Halsey.
Reach finally let us fly a Pelican (yeah I know it's an easter egg, it still counts).
The game pretty much flat out tells you from the start that your character won't be making it out, but I think the way it builds to that is brilliant. There are just enough moments in the story to give you a little hope. You succeed in driving the Covvies away from a key base, showing they can be beaten. You succeed in finding out how they got to the planet undetected. You get the UNSC moving quickly enough that a counter attack might work, and for a brief few seconds it looks like it did. Even then, you quickly come up with a plan to counter this newest threat and even that works. For a few minutes.
The ultimate tragedy of the story is that you are successful far more often than you fail. There are simply more of them than there are of you, and they just keep coming. Every victory is stifled moments later with an even bigger threat. As more and more of your team buy the farm, you feel the game putting more and more pressure on you. Every level sees the Covenant getting more and more challenging, and your team getting smaller and smaller.
Then Reach throws its final hope spot at you. You've made it, your mission is complete and you're only metres away from a transport that will take you to safety. Then, all at once the enemy you've seen in the background the entire game appears and kills the guy who had already sacrificed himself to get you to safety. To get Cortana and the Autumn off planet, you're going to have to make that sacrifice. To get there, you have to go through not only the toughest individual enemy of the game, but a bunch of guys who would essentially be the boss of any other level.
And even then, the game's theme of 'but there's an even harder enemy' continues. Only moments after you take down the Elite in charge of the entire ground operation, a goddamned cruiser turns up. Now, as the Master Chief you do indeed kill a lot of aliens. You see cutscenes where MC takes out gigantic carriers with borrowed bombs. You've fought and beaten two Scarabs at once, you've killed the chieftain of the Brutes and blown up the wreckage of the Covenant's flying city. But you've never taken out one of the cruisers that have been hovering over battlefields since the first game's third level in actual freakin' gameplay. For it's grand climax, Reach lets you do just that.
And it's still not done. The credits roll, and you're left alone against a legion of enemies. There's only one thing to do, and that's go out in a blaze of glory. And blam, you're back at the very first scene of the game.
That, my friends, is build up.