Oblivion has one of the better constructed openings around in my opinion. The story gets rolling ASAP, the tutorial does a decent job of introducing the major gameplay systems, and then lets you try them all out free form for a bit, while the character building is spread out pretty evenly so the game starts without a lot of sliders and spreadsheets. And then you can change everything before it becomes permanent, and if you save at the obvious save spot you never need to replay it.