Half the songs from Metallica's 80s albums (One, Battery, Fade to Black, Sanitarium, For Whom The Bell Tolls, etc). Also Am I Evil and The Small Hours off of Garage, Inc., although they're covers. I suppose if you count the 5 minutes or so before the what two lines of vocals in To Live Is To Die, then that'd probably be my favorite as it really goes through a nice up and down transition.
Breaking Benjamin - Phase, Water, Shallow Bay, hmm, well I like pretty much all of the ones off of Saturate.
Dire Straits - Brothers in Arms
Jimi Hendrix - Voodoo Child
There's a ton more. I used to hate intros, especially long instrumental ones, now I love them.