First one off the top of my head would be Deus Ex: Human Revolution.
Technically trailers, the "secret endings" for the first two Kingdom Hearts games were great. Goodness, remember how much discussion those things sparked in the communities back then? Can't count the number of times I watched them, and all the brainstorming that went on among friends and other fans of the games... Hell, the one for KH2 Final Mix+ was like a mini-movie, and was marvelous to just watch on its own, nevermind thinking of all the possibilities of what was going on in it.
I'm sure there are more, but I just can't think of them at the moment. Will post more as they come to me.