Wow, thats a pretty good question.

I would say that, hands down, Onimusha 2 tops my list.

I absolutely love this game and it is probably one of my favourite games of all time (Although I was not impressed with Onimusha 3 or Onimusha 4 Dawn of Dreams). Onimusha 2 had some beautiful cut-scenes throughout it and it was money well spent. Two of my favourite scenes were:

Just after you beat that fat ugly woman demon with an umbrella and Jubei has to escape as the cavern fills with poison. There is an amazing 30-40 second long cut-scene which has to be seen to be believed. It's just gorgeous.

And there is one right towards the end of the game. When you take on Demon Nobanuga and defeat him. The whole shrine starts to collapse and it is just an amazing cut-scene where the 'Evil Golden Statue- Boss comes to live and you see Jubei's final transformation into an Onimusha. If you haven't played it already, I urge you to do so!

I also loved the cut-scenes in Beyond Good and Evil. They weren't graphically spectacular but they had alot of emotion in them and conveyed the wonderful storyline very well.

Also, Genji had some great cut-scenes too. Not surprising since it's developed by the guy behind Street Fighter. It's a very pretty game with some classy sections.