Persona 3 really sets up a lot of mysteries right away that draw you in. And then of course caps a lot of it off with the first time your character summons his persona. That whole scene is one hell of a gut punch.

And FFVI's really does set the atmosphere for the opening so well. You really feel the slow march across Tundra and the sense of foreboding that comes with it. That combined with the back story set up right before if really drives home that something big is about to happen in that world.