I have a few favorite series of movies that really grab you at the beginning, others are merely catch-ups to where they left off.
X-Men: I still hold to my belief that the X-Men Series has some really awesome beginnings that set the mood for the show and also uniquely stand alone as a short mini-movie. Probably my favorite opening scene of any movie was the White-house Oval Office scene in X-men where all the Secret Service and security couldn't do squat to stop a really dramatic and well executed meeting between the X-men and the President.
Final Destination: These movies are cookie cutters of the previous in the series, you always know that no one will ever escape death beyond the end of the movie, but they open up giving you the feeling that it is a normal movie opening, and then they bang you in the head with some awesome collections of mass casualties that then dictate the rest of the movie. I think the Roller Coaster scene was the best, the car pile up scene on the highway and then original death by exploding plane were the best scenes in that order.
SAW: I have always been a bit squeamish at Saw Movies, although I really like them for their "Never let your death stop you from seeing warped justice is served" From the opening scenes, you know that half the audience is wincing and the other half cringing at the slicing and dicing of incredibly diabolical machines and devices.
There are a ton of movies that have sequels from Harry Potter, which usually does a good job at starting off with a bang, to the Freddy Kruger flicks and similar horror flicks, all intending to set the mood - I'm curious which ones YOU can't wait to see because (at least in part) of the opening segments and why.