The Stolen Earth was a gooden, as was The End of Time: Part One (at least until we found out the whole church thing had absolutely nothing to do with the plot that is


).
Blink was also a good one, with the message on the wall to Sally Sparrow. Utopia was also quite a good one, with Jack grabbing the TARDIS. Army of Ghosts was another good one, where Rose was on the beach stating 'This is the story of how I died'. Another good one was The Impossible Planet, the Ood chanting 'We must feed' and we were only 2 minutes in! 42 had another good one in my opinion, as it also just jumps in at the deep end. Another favourite is The Unicorn and the Wasp.
Many DW pre-titles sequences are just 'Previously' parts. The Parting of the Ways had a nice 'previously' sequence that was quite menacing.
I think my favourite two out of the many mentioned here are The Time of Angels and The Unicorn and the Wasp.