Pretty much all my favourites have been mentioned, but...

Battletech games, especially MW3 and MechCommander.
C&C Series: Don't really stand the test of time well, but somehow great nonetheless. I especially love the NOD campaign in the original game.
Fallout Series: It's hard not to love the style. What's scary is that if you've ever seen actual American Cold War "information films", it's barely satire.
Total War: Has some good ones certainly, I particularly like the ending movies of Shogun (especially the modern Japanese post-script)
Dawn of War: Specifically the intro, really captures the spirit of WH40K.
Deus Ex Invisible War: The intro is actually really good... unfortunately it's the high point of the game.
Thief: Everything about this game's cinematics is praiseworthy, but the ending movie of the original game is the best IMO, truly great.

Antagonist