A dialogue between unknown characters?
An action sequence where there's clearly a lot at stake, we just don't know what it is?
A thriller opening with an unknown antagonist performing a hideous act of violence on an unnamed and soon to be deceased victim?
The truth is, you can make the opening as spectacular as you like, but if there's nothing to make the reader care, they won't. It's not easy involving a reader with characters/events right from the start, but nobody ever said it was. Here are some ideas for writing engrossing beginnings.
Don't start too late
Generally, starting in the middle of things is a good device, but starting too late can ruin a good opening. I've seen authors immediately having to follow a startling opening with a flash-back to explain the significance, or sapping all drama out of a potentially great opening because they are rushing to the action. If the reader knows something is going to happen, he'll read on, and while he's doing that, you can get him caring about the characters. The promise of action is enough to propel the narrative.
Prefer drama to action
Drama is conflict, emotion, tension - while action is just stuff happening. Drama implies that stuff will happen and is utterly compelling – a good way of engrossing a reader without punching them in the face with a gratuitous action-fest.
Whisper rather than shout
You're more likely to listen to someone who beckons you over to whisper in your ear than some boor bellowing at you from across the room – a lesson from life that can be applied to story openings – an intimate, intriguing voice can be more effective that a shocking 'grabber'.
Bring it closer to home
Or rather, make the reader care about your characters – if you apply some of the techniques above you can keep the reader around long enough to get to know your characters, so when you do put them in danger, place them in conflict, or have them talking to other characters – it will have some meaning and significance.