Arkham Horror: Is there any thematic introductory text out there for first time players?
Each of the investigators has some flavour on the back of their investigator card. I've found using that gives the player some insight in to the strange going ons in Arkham, but leaves them just enough in the dark for it to remain mysterious. 

Make sure you read out all the encounter cards and not just get to the business end of things in order to roll dice. Without all the flavour text from the encounters, things can get rather...maddening