KH2 is up there, though for me it was an awesome opening that kept me intrigued from beginning to end. For a tutorial section, it is easily the best crafted that I've seen in a long while.

Lufia: The Fortress of Doom is pretty intense and has you wondering, if you played Lufia 2 first, it makes total sense and its awesome but if you never did play the sequel first (and most probably didn't) then you were probably thrown off a bit but it was still pretty awesome.

Digital Devil Saga's opening is pretty intense and filled with "WTF?!" moments but it should be expected from something based on Hinduism and focuses on the concept of cannibalism. Hell most MegaTen games have pretty weird or disturbing openings but it is a series where 90% of the time, the world ends in the first 10 minutes.

Xenogears has a pretty weird opening. Shows a dramatic space cruiser malfunction and a lone survivor on a distant world, then the game jumps 10,000 years into the future in the middle of a war between two nations fighting mechs, which brings you to the opening village which is on fire and a gear battle is raging on, only for it to fade away and see the main character painting... That's the first 15 minutes of Xenogears crammed into a few sentences.

BoF2 and 3 have some pretty twisted openings that make you guess a bit. Especially BoF2... yah that might take the cake for W-T-F-J-H!?!?!?!