I felt the same way after selling my JP. I ended up buying another. I'm sure it's not the "best", but I like playing through the modes. As a bonus they are also now more balanced thanks to Chad's new code.

All modes take some imagination, but I get what your talking about. A good example of a multiball that really draws you into the story would be Fellowship of the Ring on Lord of the Rings. Hit the Balrog then a ramp to have a member of your fellowship escape across the bridge.

Other examples:

Asteroid Threat (Star Trek The Next Generation) - The call outs at the beginning do a great job of setting up the mode. I know exactly where to shoot and there is an immediate sense of urgency. After that it's shooting all shots, but because of the "evasive maneuvers" quote I get that the ship needs to dodge around so in my head shooting shots all over the playfield makes sense.

Feed T-Rex (Jurassic Park) - Pretty obvious mode, but the used of the shaker and animation bring it all together.