Alright, I skipped a few replies, but I think I get the basic gist.
First off, starting off with a "Bang" is a great way to get the players into the game. In Media Res is an EXCELLENT game starter, and I highly recommend it for starting off adventures.... it doesn't always work for individual sessions (my sessions are usually fairly short, so I'm not always able to "start with a band"), but for adventures? Hell, yeah.
Old school D&D adventures did this very well.... "You're at the dungeon's mouth... let's start" sort of set-up. For those who seem to think that "modern" D&D is built towards "action, action, action", I suggest they take a closer look at how simply old-school adventures were set up.
Finally, for those who say "It would never work in my game" (and there are a lot of you): I fully agree. You know your players better than I do, and if you seem to think that they'd get their knickers in a knot if you started things off with a fight (in my group,the response would be "hey,easy XP!", but whatever), then don't do it.
That being said, there's a very easy way to capture that episodic TV feel of "starting with a bang" without ruffling the PC's feathers - have it happen "off-stage".
The old d6 Star Wars game suggested that the GM write a script, and have the various players read it out. Why not do something similar? You could have all the players temporarily take the roles of minor NPCs in a fight that is somehow related to the adventure at hand. You could even suggest that they gain bonus XP if they achieve some role or another.
As an example, imagine a simple "rescue the princess" scenario. In "typical" D&D Fashion, the Players would be summoned by the king the day after it happened. The PCs would be offered some sort of financial incentive ("here's 1,000 GP, go save her!"), and maybe a few relevant details would be foreshadowed ("The villain is a knight indark armour with an evil-looking sword").
Yee haw.
Now, the "roll initiative" technique could be applied here, and it can be a LOT OF FUN. At the start of the game, as the players are getting their character sheets ready, say "Here's your temporary characters. Players #1 and #2 - you'll be playing the villains... your goal is to capture the princess. The rest of you guys... you're playing mid-level warrior NPCs, and your goal is to protect her. Players 1 & 2 will get a bonus XP award if you can kidnap the princess while suffering no losses, and the rest of you will receive an XP bonus if you're able to hold the princess for more than five rounds against the evil onslaught. Have at it, boys".
So, we have a fight, and the Players even get a chance tosee what the big villain is capable of (though I suggest using a simplified character sheet, so that there's surprises waiting for the group when they encounter him later on). And, when the king approaches the PCs with his task, the group is already charged (and involved, at least emotionally) and ready to go.
Just my two cents. But, to summarize - "roll initiative" is an excellent way to start any game. Period.