The new DoW expansion's intro, Soulstorm's, is damn fine (but isn't CGI, only in-engine). I completely agree with the statement about Valve and Half-Life 2's characters, they are the very best for in-engine animations and interaction, and dialog (even though the actual story is nowhere as clear as we'd hope it to be).
When it comes to CGI, I would have to say the ones from the original Command & Conquer. I know it's old for today's standards, but back then in 1995 those effects were just jaw-dropping (and no I'm not talking about the actors, I'm talking about the background effects or the entire CGI sequences like the Orca bombing a secret NOD installation in a canyon).
And, I almost forgot, let's not forget about Diablo II and LoD's CGIs, they were absolutely beautiful back then, too. Additionally, the narrator's voice in the WCIII intro is the same than the one who's doing Marcus' voice in Diablo II's CGIs.