I think the trend may have started with Judas Priest: "Prelude" before "Tyrant" on Sad Wings Of Destiny, "The Hellion" before "Electric Eye" on Screaming For Vengeance, and "Battle Hymn" before "One Shot At Glory" on Painkiller
"Prelude" and "Battle Hymn" aren't the first track on their respective album though. "Hellion" I will grant, although it and "Electric Eye" are practically considered one song anyway (just listen to their live CDs), whereas you never hear a lot of those lead-in songs when the true first songs of a CD are performed live.
Helloween popped in my head because of the two Seven Keys albums from '86-'87, which had 2-minute long orchestral type instrumentals leading into the first songs ("I'm Alive" and "Eagle Fly Free", resp.) and the concept has been used by many power metal bands since then.
On another note, the strangest intro I've ever heard on a metal CD has to be the beginning of "Warlord" on Manowar's Into Glory Ride