It’s almost become a cliché now, but I’m going to go with the execution of Ned Stark toward the end of A Game of Thrones.
I’d read a lot of Big Book Fantasy, and the set up was all there: Ned in trouble for sticking to his principles, about to be executed in public, members of his family in attendance… I thought I knew where this was headed. A last-minute rescue — I mean, as far as I knew, Ned was our main protagonist.
Nope. Off with his head. My expectations were gone.
And sure, now the idea that George R.R. Martin will gleefully slaughter the characters that you care about has grown to the point of self-parody, but at the time? I wasn’t expecting it, and I haven’t been shocked like that since.