I know the opening line of the Call of Cthulhu has already been mentioned but I think that it is enhanced by the inclusion of the entire paragraph over which it presides:
The most merciful thing in the world, I think, is the inability of the human mind to correlate all its contents. We live on a placid island of ignorance in the midst of black seas of infinity, and it was not meant that we should voyage far. The sciences, each straining in its own direction, have hitherto harmed us little; but some day the piecing together of dissociated knowledge will open up such terrifying vistas of reality, and of our frightful position therein, that we shall either go mad from the revelation or flee from the deadly light into the peace and safety of a new dark age.
I also quite like Clark Ashton Smith's opening to the story The Gorgon:
I have no reason to expect that anyone will believe my story. If it were another's tale, probably I should not feel inclined to give it credence myself. I tell it herewith. hoping that the mere act of narration, the mere shaping of this macabre day-mare adventure into words will in some slight measure serve to relieve my mind of its execrable burden. There have been times when only a hair's-breadth has intervened betwixt myself and the seething devil-ridden world of madness; for the hideous knowledge, the horror- blackened memories which I have carried so long, were never meant to be borne by the human intellect.
Or even Smith's opening to the story The Demon of the Flower:
Not as the plants and flowers of Earth, growing peacefully beneath a simple sun, were the blossoms of the planet Lophai. Coiling and uncoiling in double dawns; tossing tumultuously under vast suns of jade green and balas-ruby orange; swaying and weltering in rich twilights, in aurora-curtained nights, they resembled fields of rooted servants that dance eternally to an other-worldly music.
