HL had me sold at the tram ride. You aren't simply plopped down in a new environment and sent off with a gun and list of goals. The long tram ride not only functions as an atmospheric aid, but an expositional one. Without forcing you to go through a bunch of written or spoken dialogue, it gives you enough information to roughly put together the who/what/where/when/why of your character and setting. You are, in essence, experiencing the exposition prior to the game actually getting underway. It certainly wasn't the first game to do this, but it was probably the first FPS to do it as well as it did.
I really liked the overlapping map segments in HL which really aided in the environment feeling connected. Pretty much every other game I had played prior to that had you walk through some sort of door or obvious load point which removed the ability for you to turn back and see where it was you just came from. The mechanics behind the loading scheme are technically no different than having physical doors that trigger the load of a new map segment, but it does prevent the player from feeling like they're pulled out of the game world temporarily. After playing through the game from beginning to end, aside from a handful of sudden breaks, you can just about trace your path back in your mind to the very beginning of your tram ride to work that morning.
The ambient soundtrack was excellent too, very appropriate in helping the mood of the game. Probably one of my favorite game soundtracks.
I would also say that in all of the above aspects, HL2 was a weaker showing. The game felt very disjointed by trying to pack so many new things into the game. You had a car level, boat level, scary horror level, etc. The intro to the game was no where near enough to make the story have any sense to it, and by the end you don't even have a proper resolution. The game just has you constantly moving through various environments and never quite takes the time to slow down and let you care about what's going on.