Kind of cheating, but Steel Empire/Koutetsu Teikoku's stage 1-4 opening takeoff looks great on its own, and it enables one of the game's many artistic triumphs when stage 5's enemy capital raid rolls around and your mothership is torn apart before your eyes, the player ship narrowly escaping beforehand (and going on to shoot down the bastards who killed your guys). The peppy "good luck" that opens each stage is never heard again - they're all dead, and you're alone behind enemy lines as the last surviving hope against evil empire MOTORHEAD.
Off the top of my head I can't recall other shooters that progress their stage openings like that, it's a great touch.
