I have not played in a game in what feels like forever, but I can chime in on the shocking of players, because a few months ago, I got to shock two of them in as great a way as I ever have.
In my Final Fantasy game, I had a subplot going with a man named Eidel, who apparently was hiring bounty hunters to kidnap summoners. Upon catching and clubbing some of the bounty hunters, my party (which includes summoners) found out that Eidel was kidnapping the summoners to keep them safe from a fallen god known only as The Destroyer, and the cult that worshipped him, led by a man calling himself Lord Hades. Eidel was training the summoners to combat the Destroyer, as only summoners possess the power to defeat this monstrosity.
That was very early on, about session 7 or 8 when they found that out. About forty sessions later, Naoko and Darien, the two summoners, decide finally to meet with Eidel at his stronghold, now that they felt they were strong enough to confront him. Upon their arrival, they found out that only a few people ever got to meet Eidel himself, and they heard about how he took up fighting the Destroyer because he lost his parents years ago to a cult serving the Destroyer.
They were quickly caught up in a murder mystery, where agents of the Destroyer had infiltrated the stronghold and killed a number of Eidel's faculty and were terrorizing the mostly young students. The more they interacted with Eidel's help, the more they started to trust him, though they had yet to meet him. They saved a few lives, found out that the Destroyer was to blame, and raced to Eidel to stop him from executing an innocent man.
The name "Eidel" was chosen for two reasons. One, because it's pronounced Idol, as this character had become akin to a false god for these summoners fearing for their lives. Two, because one meaning of the base word, "Eidolon," is "phantom, or illusion." Eidel actually was Lord Hades, collecting summoners in one place to sacrifice to the Destroyer and give Him power like the world had never known.
I have not been gaming a long time -- only about seven, eight years now. I will remember the first time I have ever seen a player honestly shake with rage. Not at me, I had to verify after the session -- she thought it was an awesome twist, she should have seen it coming (I had dropped a hint or two), and it made perfect sense. "I was ready to trust him, too!"
I don't think I've had anything else on that level, but man was that a fun session.