The death of Carville in Red Alert 2. Never saw THAT one coming...Same with Kane shooting Seth in CaC1. And, more negatively, the realisation that Tiberium Sun had a main character... one called McNeil... the most generic hero ever to grace the franchise. I wanted James Earl Jones to speak to ME, dammit!
Snake's appearance in MGS2's first Vamp-Raiden fight surprised me, but for the worse. I really was hoping that, as the Colonel said, Solid Snake was leading the terrorists... that he and Otacon had kidnapped the President (Jack Bauer style) and the player (as Raiden) would be an unwitting pawn on the evil side. Imagine having had to fight Solid Snake as a boss? Awesome...
But the best twist of all, for me, was Soul Reaver 2. In the first game, Kain condemns Raziel to oblivion... in the sequel, the player realises that Kain is, in fact, your only ally. A great move, after the cliffhanger/anti-climatic finale, and executed with impeccable scriptwriting.