It's been said but Fallout 3, leaving the vault for the very first time is just like... whoah.
Bioware have got a few out of me for the big shock moments in their games, looking out the citadel window in the Wards in ME1 made me stop for a moment for example.
Tomb Raider tends to get this reaction out of me at some point, and TR:U in particular had several moments where I just stopped and stared at the scenery for a good five minutes.
Further back Final Fantasy IX, the first time the opening movie played I was like 'this is going to be like nothing else' and since this was one of my first games you can imagine just how excited it got me.
But going right back to the start, there was nothing quite like that point in Pokemon where you finally got out of Pallet Town, and just thought 'yeah, I'm gonna be a Pokemon master.' Especially if you saw the TV shows before you played the game, you wanted to be Ash, no questions asked.
Actually, looking back, games have been really good to me over the years. Even more than I already thought.