Hmm...Fallout ("war. War never changes...") makes a strong contender, and with 'Hell march', Red alert (the first one) is certainly awesome as well. Yeah, and Final Fantasy VIII is also in my top ten list (albeit just the intro movie).
But my main choice is still this one:
Not only does it do a bang-up job of introducing the player, the world and its inhabitants, it also shows the game's strange combination of naive, almost morbid, humour and the brutal reality. And to top it off: the cinematics actually flow into you actually playing, which...not that many games do, unfortunate enough.