I actually have to say the cutscenes in Halo 3 really were a treat for the eyes, deep space conflicts, massive Halo ring moving up, great facial expression and of course the well deserved death of Truth.
Haven't quite played enough of Halo Wars to comment.
Another cutscene I thought was well done was Ryan's death in Bioshock
"A MAN CHOOSES A SLAVE OBEYS!"
I also loved Mass Effect's array of cutscenes while on the subject.
Gears of War 2 I liked every cutscene with Carmine in it, after he died (*sniff sniff*) I lost interest.
Loved Saint's row 2's cutscenes too mostly because of my fully decked out character talking in his thick north london accent.
To be honesst that's all I can think of right off the top of my head. There were some beauties in Otogi and Fable from least generation though.
(I can't mention Half Life 2 because there are no cutscenes!)