I have to repeat this one, because it was definitely the case: the Red Wedding. Seriously, I was reading the book series first. Hit that scene, put the book down, came back to it a bit later once I fully absorbed that yes, that really did just happen.
This is a bit of an old one, but in Mass Effect, Virmire. Sure, it's not as big of a deal now, but that was my first time playing a game where I was given a choice like that, where no matter what, something bad will happen, and there is no third option.