Probably the best I've ever done was a session where I established day in the life for three typical nonadventuring characters, intercutting between them, gradually established a series of seemingly minor but increasingly consequential supernatural happenings, and gradually pushed them towards each other, finishing with a thrilling chase that left the characters on the precipice of coming together.
To me, the best part of the Lord of the Rings was always the beginning. Getting a sense of what normal is, what the characters are fighting for, where they're coming from. It provides context for the entire campaign. Also, the transition from normal life to the campaign is fun to play out.