Going to re-iterate my list now with spoiler tags. They will be listed by game and by the severity of the spoiler.
Listed are all games that shocked me, with an explanation of how they did...
Sonic and Co.
Sonic and Knux: Mecha Sonic powered up- I can't quite remember, but I'm pretty sure I had a severe "oh cool!" reaction when he broke Egg-robo and used the emerald.
Heroes: *Mid-Severe* [spoiler:eff12f8dbf]The slip-up of Chaotix's employer - Here was where I found out who it was, and it was quite an interesting twist[/spoiler:eff12f8dbf]
Heroes: *Mid-Severe* [spoiler:eff12f8dbf]Metal Sonic's Transformation - It looked very daunting, regardless of Heroes' imperfections this final story had me hyped throughout its entire run.[/spoiler:eff12f8dbf]
Heroes: *Severe* [spoiler:eff12f8dbf]Shadow is an android... or is he? I was actually quite captivated by the mystery before it was trashed in the next game.[/spoiler:eff12f8dbf]
Secret Rings: [spoiler:eff12f8dbf]Shahra's death, lame as though it was played out, was completely unexpected. Too bad the scene was too horrid for it to be a big deal.[/spoiler:eff12f8dbf]
Super Smash Bros. Brawl
*Moderate* [spoiler:eff12f8dbf]Ness's sacrifice and Lucas's abandonment... poor guy![/spoiler:eff12f8dbf]
*Severe* [spoiler:eff12f8dbf]The supposed death of the Ancient Minister was very sad, and when he became ROB... it was quite a surprise. Somewhat of a bittersweet moment of relief when you realize that he was commanding his people to do suicide missions.[/spoiler:eff12f8dbf]
*Severe* [spoiler:eff12f8dbf]Dedede's badges were actually preventative measures against the dominion of the Subspace... this was quite a surprise, considering that this meant everyone he tried to make into a trophy he had done so to save them. And his relief at seeing Kirby is awesome.[/spoiler:eff12f8dbf]
Legend of Zelda
Ocarina of Time: Malon's subquest was not so much of a shock, as it was probably one of the highest levels of true emotion I had drawn from the game. The pity I felt for her and the bashful pride when she was expressing her gratitude was unlike I had felt in playing any game prior.
Ocarina of Time: *Mild* [spoiler:eff12f8dbf]Ganondorf follows Link to the Temple of Time... good going kid![/spoiler:eff12f8dbf]
Ocarina of Time: *Mild* [spoiler:eff12f8dbf]I didn't really expect Nabooru to be the seventh sage, especially considering how I thought she was a baddie for most of the game.[/spoiler:eff12f8dbf]
Ocarina of Time: Redead scared me... whether it was their distorted graphics, the shriek, or the way they tried to strangle you to death.
Twilight Princess: *Mild* [spoiler:eff12f8dbf]When you rescue Illia, she has no idea who you are... you expected some gratitude but instead you feel snubbed... or I felt snubbed anyways...[/spoiler:eff12f8dbf]
Twilight Princess: *Severe* [spoiler:eff12f8dbf]Midna is the twilight princess... I expected her to have something to do with everything, but I really didn't expect she played the eponymous role[/spoiler:eff12f8dbf]
Twilight Princess: *Severe* [spoiler:eff12f8dbf]The breaking of the mirror, while predictable, was very startling. The scene was very, very well done.[/spoiler:eff12f8dbf]
Mario:
Super Mario Galaxy: *Severe* [spoiler:eff12f8dbf]The sacrifice of the white luma was very startling... but it wasn't that emotional[/spoiler:eff12f8dbf]
Metroid:
Super Metroid: Ridley's death involved a sequence which panicked me like crazy
Super Metroid: *Just don't click it!* [spoiler:eff12f8dbf]The surprise appearance at the last boss was so sudden and unnerving that I didn't have time to reason whether it made sense or whether I should have known or what.[/spoiler:eff12f8dbf]
Cave Story:
If you've played the game, you probably already know!
Starcraft:
New Gettysburg, considering I didn't have a grip of what the story was about, seeing the betrayal to Kerrigan was shocking. Unfortunately, this is one spoiler that nobody can come back to and be genuinely surprised by because after the shock, the Queen of the Blades became the symbol of the Starcraft saga.
There were many events that did shock me, but I read them in an FAQ article or an online encyclopedia because I never managed to beat the Terran and Zerg campaigns of the expansion.
Ecco:
Tides of Time: The larva shocked me more than any surprise from any other game when it shrieked and covered its arms around you, and you could hear the high-pitched sound and smothering sound when you died. The worst part, you couldn't kill them, and you had to be right behind them in order to porgress through the last level.
Ecco I: Sharks are dangerous right? Now progress through a straight level with no mazes or glyphs, and an infinite number of Sharks swimming around you... Reaction?
Ecco I: The last three levels were pain-inducing, and possibly the only thing harder than Cave Story's secret level. A vertical gauntlet where you have to avoid being hit, a long and scrolling maze where you almost literally have to use your instinct and reflexes to survive, and a colossal boss which, while not that difficult, sent you back to the previous level should you die...