Giving the reader/audience a sense of setting right from the get-go is key, but make sure your opening scene does more than just establish location. The Thing (1982) is a great example of conveying setting while still providing plot detail. This beats a boring aerial shot of the landscape. This is intrinsically part of the story. It matters. Take it away and the story suffers. Your opening scenes should have more than one purpose. They need to both orientate and hook the reader into your tale.