Graylands Incident from Vagrant Story, the combination of the art and music are atmospheric as hell and set the tone of the game perfectly.
I was always a huge fan of how Legacy of Kain: Soul Reaver started:
Dunno if these really count, but I found the promotional cinematics for The Old Republic to be incredible:
In the end I never really gelled with the game, but those cinematics really captured everything I've ever wanted from Star Wars.
(I love that stupid phone Yuri uses. It's the most hilarious thing in the world to me)
Kind of surprised no one's posted Parasite Eve yet. It's obviously pretty dated, but something about the music and some of the better visuals just gets me hyped.