Here's my favourite opening scene from any movie, bar none. (OK, maybe bar a James Bond opening stunt. But you get the picture.) It's from the action flick Desperado, the big(ger) budget sequel to Robert Rodriguez's zero-budget El Mariachi. Setting, backstory, mood, tone, whatever: this scene sets it all up brilliantly. And Steve Buscemi totally owns the scene as the guy who sets up Antonio Banderas's lead character for the audience.
It goes from that, straight into the foot-stomping musical title sequence...
... and then into the feature film. The rest of the movie is, sadly, absolute rubbish. But it was always going to be downhill from that great opening scene.