As I have said before when you are thrust into this world you are instantly hooked. The first level on Eden Prime really sets the tone. But even before that you the first scene really sets the mood. It makes mention of the specters it shows the somewhat distrust between alien species and most importantly it shows a reaper. All of these plot points are put out in the fist 5 minutes of play. It also shows the main antagonist in the first game the Geth.
I should also point out that finding names for species and characters is actually harder than it looks. All of the names of every race and every character are very well thought out. I guess this is what happens if you hire a team of writers to think about this problem all day.
After the first mission you see everything you need to know about the plot. The mood is also set in this first mission. The time of day is dusk which is a metaphor for the entire series. It's not at night, it's not at sunrise, it's not at noon, the sun is setting. This is a brilliant nuance and it is so powerful.
In games these subtle additions really make a difference to the game. I love finding metaphors in games. All of the writers and designers put them in because they were probably trained in classical arts and I love when I spot them. Not to mention dusk gives a very erie sensation. It has to do with the low and slightly colored light.