Zero Wing.
OK, sarcasm aside, i quite liked the introduction to The Chronicles of Riddick: Escape from Butcher Bay, mostly because the first level (his escape just after arriving) is actually a dream sequence, and once you're out of the dream, as you enter Butcher Bay, you know this shit just got even more real.
Really, IMO, Escape from Butcher Bay was the only real game that got prisons right. The atmosphere is just incredible, and you wonder how the prison could be even more containing than before.