I think the best twists are often player created--at least that is the way it often works for me.
In a 3E game, I had a dwarf informer and fencer of stolen goods--really, a quite minor character, with a really obnoxious personality. He was deliberately over the top, which was a great cover--what kind of guy up to covert trouble would call that much attention to himself?
The main foe had some minor wererat henchmen that used the dwarf occasionally for information. The players were after the wererats, and got suspicious of the dwarf. However, they gave themselves away during a fight, and the dwarf acted on his longstanding plan to escape with his portable wealth, leaving behind a burned down house and some charred dwarven bones.
That was supposed to be it, or mostly it. The dwarf was vengeful, and would send annoyance thieves and bandits after the party for the rest of the campaign. But the players decided that the dwarf was innocent, and a victim of the wererats.

They pursued the wererats unmercifully and thoroughly. Meanwhile, the increasing banditry and thievery convinced the party that some key member of the ring had escaped, and they suspected one of their main allies of being a traitor!
This all came to a head when a lone thief succeeded in looting the wizard's spell book. The party dropped their world saving activities to track down the thief, eventually trailing him to where he had sold the spell book to the dwaf.
The looks on the players faces were priceless. All at once, they fully realized what had happened.
