The one I remember most fondly was the instruction manual for Mechwarrior 2 for the PC. I had the original DOS version, and it was designed like a pilot's handbook that might have been handed out to a greenhorn clan mech pilot. It had pictures, interesting descriptions, hand-written notes in the margins, and was totally awesome.
Then there was the one for Wing Commander Prophecy. Had a detailed description of the game's backstory, presented as a series of e-mails and news postings sent to the game's main character. It was pretty cool.
And let us not forget the manual to the original Starcraft, which combined detailed backstories for all three races, all the technical whatnot, and page after page of concept art. Sweet.
But, now that virtually every game has a tutorial, we don't really need manuals anymore. It's kind of sad, but I'd say we're better off.