I can't believe no one has metioned the Onimusha 3 intro! The most well made and action packed FMV sequence I've ever seen in a game, so good infact that it was what persuaded me to buy the game. If you want to check it out for yourself, head over to gametrailers.com, it has the full intro FMV up for download.
I also liked DMC's intro, and DMC3's intro looks amazing aswell.