On the show I think Garnett asked about what should be done to make a good prologue segment or "Act 1" of a game. That is: simultaneously explaining the game mechanics while introducing the game's world and characters and endearing them to you before the actual main conflict arises.
The first example that comes to my mind is Ocarina of Time. The first town -- Kokiri Forest, acts as a sort of microcosm for the rest of the game and it makes no secret of this, as each character in the town blatantly explains the game's core mechanics. The entire child Link segment of the game really just serves to try to endear Hyrule to the player so they actually care about the place and its characters before everything goes south.
I think straight-up action games are at a disadvantage when it comes to things like this and really directed narrative in general since, as you guys said on the show, you need to get down to the shooting really quickly. I think Gears of War 3 did an okay job, having players walk through the opening area, showing how all the characters live there. Technically the game's opening dream sequence is an action prologue, which I guess is probably a good way for action games to start up -- have the player shooting stuff in medias res before developing the story. I think that in order to get over that hump though, action game players are going to have to accept a little bit of down time. Even action movies like Transformers have talking scenes that try to develop the characters.
Far Cry 3 on the other hand has started to convince me that open world games should probably have as little directed storyline as possible. All the best parts of that game so far for me have been emergent events that randomly occur while I'm between missions. I think Dark Souls is probably about the right amount of storyline for an open world game -- really just a whole lot of lore spread about the environment.