Half Life 2.
It's just perfect. Yes I know the game's gameplay isn't that great, and the story is pretty "eh", but the opening... oh man, no other opening comes close to being so great. You fully control Gordon, and can see and explore the space. The game shows you just enough of the Combine so you can make your own conclusions as to what's happening. The game doesn't show them being stupidly evil just for the sake of it, but shows little instances of disturbing scenes that gradually get worse. And all this time it never forces you to move on, or locks you into a rails section. You are free to move and go on at your own pace, and you have no annoying narration or character pointing out everything that's going on. YOU see what's going on.
The game trusts you to be smart, and it works.