I've got to go with *spoiler alert!* General Shepard from MW2.
You know how frustrating it is when a video game villain betrays you, and it's so obvious that he was going to right from the get-go, but everyone still acts surprised? Shepard was the exact opposite. Everyone seemed to totally accept it EVEN THOUGH IT MADE NO GODDAMN SENSE!
Seriously, I've asked everyone who ever played the game why he suddenly started killing playable characters left and right, and nobody can give me an answer.
General Shepard, you are a mystery wrapped in an enigma. Wrapped in a stupid plot twist.