They have their own variations on the technique which I'm not going to try to explain in abstract detail. Instead, I want to take this line of thought in a slightly different direction by selecting a standout game from each console platform that really tries to sink it's proverbial claws into the player before they even engage with the game's mechanics. Here's the list I came up with:
For the NES, there aren't a whole lot of choices. In fact during the 8-bit era the concept of a strong narrative arch hadn't developed much yet. That said, Ninja Gaiden has one heck of an opening with the classic sword duel in a moonlit field. That, along with some brief snippets of accompanying text do an excellent job of setting up the stakes and story that follow.
For SNES, I would have to go with Super Metriod. There's so much to like about this game even before you push the start button; tight panning shots of a lab in disarray, plus a zoom out to the title card demonstrate excellent use of the consoles mode 7 graphics capability, but it's the haunting musical cue (filled with apprehension and dread) that really sells the introductory scene.
For the Sega Genesis (Mega Drive), I initially wanted to go with Phantasy Star 2 with it's mysterious yet strangely upbeat music playing over the setting intro (which in itself is an interesting blend of science fiction and fantasy). However, I ultimately decided on Castle of Illusion because of its fairytale-style intro combined with a slick use of letterbox formatting to introduce the title card, hero and titular castle all in one framing shot.
For N64 Conker's Bad Fur Day takes the prize. The goofy 4th-wall-breaking intro wherein everyone's favorite red squirrel chainsaws the N64 logo in half only to replace it with the Rareware logo contrasts so sharply with the game's incredibly downer "how did I get here?" beginning-at-the-end has got to be a first for console gaming (not to mention a bold move from a design and presentation perspective).
For PS1 the choice is obvious - Metal Gear Solid. The amount of techno-thriller gobbledygook this game throws at the screen in the first couple of minutes is kind of insane, but it also sets a new standard in that the original MGS showed games could introduce a fairly complex plotline right off the bat. Your mileage may vary (obviously), but it opened the floodgates in terms of the future of storytelling in video games.
I could keep going, but I think these examples from the 3rd, 4th and 5th generations of console hardware have served my purposes. As the saying goes in life "put your best foot forward"...and since games often imitate life the same holds true for them as well.
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