Mine vary, often relating to whatever it was that shocked me in the first place, but generally:
"What the shit?!" Used to express confusion/disbelief/painful levels of hilarity. It was particularly surprising when on my first playthrough of Mass Effect 2 I was dropped into a certain pilot's shoes, only to hear him use the exact same exclamation a few moments later. Spooky stuff.
"Bloody Hell/*insert origin of offense here*!" Used in just about every single situation. Ever. "Bloody" just seems to be instinctual.
Also, my personal favourites:
"What is this fuckery?!" Used to express confusion/frustration/all-consuming rage. Usually followed by a grudging, mumbled explanation a few seconds later of, "Freaking/fucking wizards..." Occasionally with a "Always trying to verb my nouns" tacked on at the end.
I swear too much.
EDIT: "Kinky" can also be used as a stand-alone phrase to acknowledge and dismiss something I don't have enough time for, or simply can't form a reaction to without melting my brain.