I’m going with my first instinct on this one – Metal Gear Solid: The Twin Snakes.
I have fond memories of seeing the cutscenes in The Twin Snakes for the first time and being flabbergasted at how cool and stylish they were. When Snake and Ninja fight for the first time after the Revolver Ocelot fight and slo-mo, spinning, back-flipping action happens – it rocks.
Metal Gear Solid 4: Guns of the Patriots also has very well done cutscenes, and it damn well should considering some of them are long enough to be standalone movies. The first scene with the Frogs where they slide down the awning, flip down onto the floor and then raise their guns is awesome.
And just before that, when Meryl and Snake meet again for the first time and she argues with him about Colonel – pure awesomeness.
Actually, MGS4′s scenes might be better. I don’t know…
Honorable mentions are Silent Hill 3, Heavy Rain and some other games I’m forgetting.