Hmmmm...this is a tough one! I never really thought about it before; I've had some favorite game ending but not intro. But if I had to pick one I'd definitly say The Ship by Outerlight and Steam. "Good evening, everyone" says Mr. X the Rusky, and the end (SPOILER ALERT!) throws you into a sense of deja vu in the hospital of the same ship: As a nurse stands over you, the speaker comes on and says "Good evening everyone." Favorite opening because of its insidious-ness. Second and third places belong to World of Goo and Portal respectively; World of Goo is creative and Portal throws you into portals almost immediately.