In my case, as far as I can remember, the one moment in a video game that shocked me the most when it happened was the moment Aerith died in FF7. I mean, she was part of your party, you could level her stats, there were a few cutscenes where you got attached to the character before she's abruptly taken away from you.

Normally, scenes don't really shock me, though there were various scenes in FFX where I couldn't follow what was going on because it was so different, like at the start how apparently time zones kept changing.

That I can remember, this one: https://www.youtube.com/watch?v=3ENWbKRTdvg and seen how she end up the day after https://www.youtube.com/watch?v=2O7efpJMPhQ is kind of shocking... 

Things get worst if you take into account she and everyone else will die that day D:

Probably when Dom sacrificed himself in Gears of War 2. That was pretty hard to watch. 

For me, I'd have to say having to decide who lives and who dies on Virmire between Ashley and Kaidan in Mass Effect. I had become so attached to the Normandy crew and had a difficult time choosing. I actually stood up, swore at the TV and paced around for a bit trying to decide and was shocked that I'd have to pick one. In the end, Kaidan died (and has since, perished many times in my many playthroughs) and Ashley lived. 

Final Fantasy 4! The scene in which the party boards a ship and is attacked by Leviathan. I actually believed that was the end of Rydia in the story.

Sayanos : Probably the part that I was pleasantly shocked the most was in Metroid other M. They led the game to make you think that Anthony was dead. I mean, he was knocked into the lava! Then, at the end, they show that he had survived, and how. For me, that was a shocking moment.

In Expeditions: Conquistadors, when Esteban kidnapped my best soldier (I'm not sure if its random or scripted due to the games system with party members) and nearly murdered my best scholar when I was trying to camp. As soon as you go to confront him he will kill her right in front of you, and then attack you with a larger party of soldiers.
It's a very rough moment, not only are you more defenseless due to your smaller party, but the lost of your soldier weakens your whole dynamic, not to mention it also makes ALL your units lose morale.

In Legacy of Kain: Soul Reaver, it's when you start hearing the Zephonim vampires from out of nowhere, and you're suddenly getting frantic because "OH GOD THE SPIDER VAMPIRES ARE EVERYWHERE AAAAAARGH".

As to be expected, 


I really don't get shocked otherwise, betrayal and stuff like that is used so often, that I expect to get crossed. You could almost say that if I don't get crossed in a game, that is shocking.

The scene that shocked me fairly recently would have been the final scene in the latest Mortal Kombat game, which basically any thing from that games ending would have shocked me, since I was going in there knowing something was going to be new, I didn't expect the whole final scene though, it does make sense though giving the whole plot line for Mortal Kombat 4. Another thing that shocked me was the inclusion of Quan Chi in not only the main story line, but also on the character roster, I am not really sure how I feel about that though, because honestly he wasn't really part of the original tournament, though he was around technically if you want to consider mythologies as well. Another shocking moment in that game was cyber sub zero, which I actually liked the character development for him, in my opinion it was a really brilliant move, but you see I always liked smoke in his human form so I might have been a bit bias towards the whole thing a little. I know cyber sub zero had a lot of hate, but in my opinion he was very well done move as well as story wise, all in all a very good game.