Shocking-wise, I think there's a part in FEAR 2, in the Elementary, that is so well made that it's impossible not to want to get out of it as quickly as possible, your flashlight stops working, the music seems to try to attack you, the lights flicker, scenery moves, the locker doors are ripped out in front of you by nothing, doors get blocked, corpses on the walls and ceiling burst open to reveal Spectres that attack you, Alma is appearing all the time, it's crazy.
Storywise, the reveal in Deus Ex, after leaving the Majestic 12 holding facility that exited right in UNATCO headquarters. Everything I knew was wrong and I've been on the wrong side all the time, my god! Of course, that has less value after you've seen it.