Crono's death in Chrono Trigger - Talk about a plot twist. Sure, you could bring him back, but while this scene was happening a lot of people didn't know about that. It was mindblowing, to say the least.
Andrew Ryan - While I was playing Bioshock, I was PISSED at Ryan for killing Atlas's family. The whole game I was like "I'M GONNA KILL THAT BASTARD D:<". Then I got to the confrontation, expecting it to be one hell of a huge fight. But something wasn't right. I was like "Ok, the game is going to throw me a curveball..." Then I walked into the room... and well, you know how it goes. I suddenly started thinking "Ok, I don't want to fi- wait, what? Hey, WTF? Why is Ryan asking me to kill him? *smack* WHAT?! *smack* NO YOU IDIOT! DON'T KILL HIM! DO- *smack* *dead*." My reaction: "O____O" Then I found out that Atlas's family didn't exist. Talk about a kick in the balls.