Hey casino. I know what you're talking about - the 'shocker' first sentence describing something off the wall. While I agree with you that such blitzkrieg tactics are probably not endearing to adcoms one need not resort to blitzkrieg to be compelling in the first paragraph.
Along the lines of what EnglishToLaw gets at I use my first paragraph to describe an interesting work setting in which one of the actors in the 'story' is exhibiting leadership ability. I don't ever say "man X is doing leadership stuff", rather i give concrete examples of actions, expounded upon in 'story' fashion, which any reader would clearly recognize as a demonstration of good leadership.
After the first paragraph I never explicitly mention that "man X" is myself, but the implication is clear - that man is none other than myself.
I think this, and similiar tactics, are a good way to begin one's PS. Everyone likes a good non-blitzkrieg story. And if you tell an honest an interesting story of yourself there is truly no underhanded 'tactic' at work and adcoms will recognize this. Further, if you can accomplish the second goal I set for myself I think your story is especially non-invasive. That is, i set up a description of a situation in which there is a clear hero, but I then never explicitly say to the audience (adcoms) "Now, that hero leader type guy you read about in the first paragraph - that's me. Cool huh? That's me! I really did that cool leadershipt stuff in the first paragraph!".
I think by not actually declaring I am the hero of the story I, in a certain way, honor my audience by not stating the obvious and allowing the audience to conclude for themselves I am said hero. Further, if they deduce this themselves it is much more powerful than were I to tell them and ruin the mystery.
Anyway, I really do think you can begin you PS in attention grabbing 'story' fashion yet still be creative and not seem like you're giving into to the typical blitzkrieg gimick. Try out a couple experiments. That fact that you've identified the blitzkrieg gimmick is itself indicative that you've got a keen eye as to what's going on here. I'm sure with a few attempts you can find an honest and intriguing way to begin the story of your PS.