Build up as in "Plot foreshadowing" or "Enemy foreshadowing"?
For Plot foreshadowing, I'd go with Bioshock: Infinite. Bioshock 1's reveal was a bit more surprising, but it was a bit simplistic. Bioshock: Infinite has you wondering WTF is going on (In a good way). The mysterious man and woman (Lutece twins) that appear throughout the game with carefree attitudes and silly banter, the Tattoo on the hand and how the prophet knew booker was coming, and so on. There are a ton of strange details that eventually all make sense.
For Enemy foreshadowing... I'll pick an odd one here: Arthas (from Warcraft). Despite being a very stereotypical cartoon style villain, it takes two games and three expansions to finally take him down. Even though in Wrath of the Lich King he basically did a "I'm not going to kill you yet, I'm making you stronger before I kill you and raise you up" every time he shows up, it was done very well, in an imposing way. I was always excited to see him show up, and know that later on that expansion I'd finally be able to kill him after so many years. Even if the boss fight itself wasn't the most memorable, the build up was definitely one of the highlights of the game.