I generally do not like pre-rendered cutscenes. It's something that part of my brain picks up on, requiring another part of my brain to tell it, "Settle down, it'll be over soon." As mentioned above, it's always the little things that you notice. From a developer's perspective, it's probably easier for them to make a video that works on all platforms than to modify the engine to allow for in-game cutscenes across all platforms with roughly equivalent framerate and image quality.
That said, I do value the opening of "Half-Life" and the 5-minute scripted walk of "Deus Ex: Human Revolution" as special. If every game opened like that, we might be asking developers for little movies instead of scripted walking sections.