As we all know, the Borg announce themselves with some variation of the classic:
We are the Borg. You will be assimilated. Resistance is futile.
The question is - why exactly they are doing this? Announcing that resistance is futile is not likely to reduce the actual resistance - otherwise every battle could be won by just announcing it's futile to resist. The Borg must have learned from experience that nobody really believes them that the resistance is futile (and those that looks like believing probably are trying to pull some trick on them) - at least nobody we encounter on-screen or by reference does. The Borg also are nothing but pragmatic - so why they keep doing something that has no chance of working?
Moreover, announcing their intent to assimilate probably lowers their chance of successful assimilation (in most cases, insignificantly since they are technologically superior to most others, but still why suffer even small disadvantage)? Would it not be more practical to announce themselves as something like "We are the Borg, interstellar candy merchants, and we have free samples right here in our cubes, please come in and taste!" I'm kidding of course about the exact formula, but the point is - why not try to deceive at least at the first encounter? That could help them to assimilate at least a small number of species on initial encounter and thus gain very valuable knowledge. See how Martians act in the "Mars Attacks" movie - that's how one would expect the Borg to act.
Of course, that would eventually get them a very bad reputation about those who know them - but it's not like their reputation is any better without it, given that they are assimilating everybody anyway and, as their Voyager encounters prove, are not strangers to backstabbing and scheming. They obviously have no "warrior honor" concept like Klingons do, so why would they give up a very important surprise advantage and disclose their nature and intentions upfront?
Looking for an in-universe answer, of course, "it sounds badass on TV" is not interesting enough :)