The Man of La Mancha OBCR overture absolutely floored me the first time I heard it. I literally had to stop for a second and take it in. Hoooooly crap.
The Thoroughly Modern Millie overture comes in second for me. Such a great, upbeat, and oh-so-roaring-20's intro.
Candide, Funny Girl, Gypsy, Merrily - I agree with most everyone else. The one that hasn't been mentioned that I would add to the list is the 1971 revival of No, No, Nanette. The dual pianos and orchestra arranged by Ralph Burns is top notch. Or maybe I should say it's the bees knees.
CallMeAl2 said: "Also, not an overture per se, but a prologue: Richard Rodgers's Carousel.
In the same vein, Follies' prologue is brilliant, haunting, sweeping, grand, diminishing.... I could go on and on. And, of course, it plays straight into the actual overture, which, as far as I know, is the only overture to actually interact with the characters on stage (by adapting to character entrances).