As long as they keep the idea the same; starting off after some event that leaves you on your own and confused.
Personally I much prefer the idea of just arriving at the place, like in Morrowind, stepping off the boat was a great moment in gaming for me. Doesn't have to be a prison boat, could be any reason that I'm on that boat.
I think half the trouble with the Oblivion beginning is that the PC starts off in prison which suggests he was already living in the area or at one of the towns. I prefer the idea that I've just arrived, because I have, as I have just loaded up the game