Interesting question.
I personally prefer the opening of Oblivion and Fallout 3 better where you start underground,
and emerge into the light to face the world for the first time. Quite a magical feeling.
Not to say Skyrim's intro was bad, but it sorta loses the "First time viewing the world" feeling.
Love the first time when i see Alduin tho, that was epic.
This ^
I loved the fly-by of the city into in OB. MW was just some dialog and blurry pictures.
Skyrims was an 'ok' start. It seemed rather slow until the dragon attack though.
Also in MW you were given a starting quest of seeking a Blade agent in Balmora (which you had to do for the MQ). In OB you were given a quest to find the heir (which you had to do for the MQ). In Skyrim, other than being asked to join one side or the other of the civil war (if you follow your partner into town) there really isn't anything about the MQ given out. In fact if you didn't go on to Riverwood or ever visited Whiterun, you wouldn't know what the MQ even is (or ever see another dragon).