To be honest, most games dont shock but make an impact nonetheless. Games with twists like Heavy Rain or just epicness like Mass Effect have come close to shocking me, but never had.
Silent Hill 2, tho, did shock me. Every time Pyramid Head turned up to rape another monster, Maria dying (three times!) and any one of the endings, even the joke one, had me in awe. This was becuse the writers had done an exceptional job in getting me to connect with the characters and when u find out the truth about James' wife, I nearly cried!