I understand your view of the Bioshock intro.
though frankly, I always thought Fallout 3's intro was the best.
After all, it potrays the main character spending 19 years living a normal life in the Vault untill dear ol' dad leaves it, everything goes to hell, and the Lone Wanderer is forced to escape and she/he finds him/herself in the Wasteland and all it's post-apocolyptic glory.
and it gives the player a more realizing impression that they are a character in the game and are being treated as such, which is a better than Oblivion, where you're a jailed dude who just sole suddenly is told by Patrick Stewart about a quest to save the world, I know you're not required to go on this quest, but the the jail-break tutorial quest gives you a slight impression on otherwise, you know?