I've said it before, but hearing certain bits of Shakespeare spoken aloud makes lightning bolts shoot straight up my spine. It's like my brain suddenly tells the rest of my body, "Listen up! Something good's happening! Get on the edge of that seat!"
This makes the opening lines particularly special, as those mean "You're about to get that feeling for the next 2-3 hours." I've heard it said that the opening sets the tone for the whole play. The simple "Who goes there?" in Hamlet turns it into a great ghost story once you realize that the wrong guard says it. Macbeth's wyrd sisters start the play by confusing audience expectations, asking "When shall we three meet again", as if we've just been dropped into the end of their discussion rather than the beginning.
I think my favorite, though, might be Romeo and Juliet, because I can really bring it all the way back to the first two words: Two households. Maybe it's the geek in me, but I like things binary. Shakespeare starts out the play by taking the universe of what's about to unfold and dividing it right down the middle. You're gonna have the X's over here, and the not X's over there. Everything else is irrelevant, they are effectively the same thing in all variables except for one. In this case their name, although it dawns on me that decades of directors portraying the conflict as a racial thing seems to diminish the value of the "What's in a name?" series of speeches. (For some reason that makes me think of the Star-Belly Sneetches.)
What's your favorite opening scene, and how fast does it hook you? Do you have to wait for the "good stuff" or is it lightning bolts and edge of the chair action from the first time somebody opens his mouth?