Hard question since there are a lot of good games in my particular case I do love those intros where the suspense and terror are part of the music, clear example is
Super Metroid that still today it creeps my nerves out every time that I heard it even when it only last a few seconds,
Parasite Eve without a doubt is my favorite even when they practically show almost all the events that will happen just in the intro,
Haunting Ground damn the first time that I saw it was like WTF I purchased and of course totally felt in love with Fiona Belly