Mass Effect 2
If there's one thing we definitely don't expect to happen within the first five minutes of the sophomore title in a video game trilogy, it's the main character dying. We're not used to seeing Shepard so helpless, and the scene's effect is both unnerving and ominous.
That's only slightly diminished by the fact that Cerberus ressurects him a full two years later. Shepard's death is an amazing plot point, and it's got the added bonus of allowing him to fully change gears without being too weighed down by the events of the first game. Well done, Bioware.