I thought Heavy Rain's was exceptionally clever, showing you how to make the origami figure with the paper that came with the game while it installs. There was just something so cool and novel about it that I wish more games had, made you feel like you were watching an old TV show for kids or something.

I liked the MGS4 install screens with Snake as well, when I was at my Dad's (where there's an HDTV and smoking permitted in the house) I would light one up with Snake and enjoy a cigarette to calm my senses after the usually blood-pumping endings to each Act. The initial one takes a long time, but the later installs usually gave me enough time to finish a smoke before starting. And the little notices like "be sure to use an ash tray when smoking" and such were cool.