Definitely "Overture" - Promises, Promises. It really sets up the style and sound of the show.
I'd also say that "Prelude" - Next to Normal is pretty damn incredible.
"All the world's a stage,
And all the men and women merely players:
They have their exits and their entrances;
And one man in his time plays many parts..."
~Jaques - "As You Like It" Act 2, scene 7