In Buffy, it's hard to say as I've seen them all so many times that I anticipate all the shocking moments. In fact, I can't even really remember how I reacted the first time round to many of them. The one that does stand out is Joyce's death. I knew about the episode The Body before watching it, and had prepared myself for it. But I originally thought that The Body was the episode in which she died. So imagine my shock when Buffy comes home and BAM, it's already happened.
Also, Cassie's death in Help. The assumption is that after she's been saved from the sacrifice, her vision is no longer relevant. And then she dies and you find out that it wasn't the sacrifice at all. Brilliant writing there *checks wikipedia to see who wrote it* Rebecca Rand Kirshner