In medias res

The phrase has become almost a cliché to describe a common method of beginning a story. In other words you hurry the reader into the middle of the action just as something important, some change is about to happen. Once the story is going along at a cracking pace you can shuttle back and forth using flashbacks to fill in anything we need to know. But don't do this too soon. The first page, the first paragraph, that's where it all begins . . . or ends. If the reader isn't hooked immediately you've lost the battle.
Some of effective openings:

Marley was dead to begin with. There is no doubt whatsoever about that.
(A Christmas Carol by Dickens)

It is cold at 6:40 in the morning on a March day in Paris, and seems even colder when a man is about to be executed by firing squad.
(The Day of the Jackal by Frederick Forsyth)

We were about to give up and call it a night when somebody dropped the girl off the bridge.
(Darker Than Amber by John D. MacDonald)

Please add your own favourites.