Advance Wars 1 for the GBA has probably one of the best turorials of any game from the last 10 years.
It's well done, fun, and it ties into the story. Heck, I replay it every time I pick up that game (there's nothing better for long train rides btw).
EDIT:
I just remembered that the tutorials of Dawn of War 1 deserve mention: while they do a great job of explaining and showcasing the individual play mechanics of the various races, they're incredibly boringly done and don't tie into the story at all. While they're effective at teaching you the ins and outs of the faction you're playing, they're basically just a skirmish map with some voiceover from one of the developers...
It's well done, fun, and it ties into the story. Heck, I replay it every time I pick up that game (there's nothing better for long train rides btw).
EDIT:
I just remembered that the tutorials of Dawn of War 1 deserve mention: while they do a great job of explaining and showcasing the individual play mechanics of the various races, they're incredibly boringly done and don't tie into the story at all. While they're effective at teaching you the ins and outs of the faction you're playing, they're basically just a skirmish map with some voiceover from one of the developers...