The obvious choice would be season 2's "Twilight" but I already knew that Kate would die, so it wasn't shocking or unexpected anymore. Under normal circumstances, I'd go with that ep though.

I was really shocked when Gibbs left (and how he left) at the end of season 3. (And I hated that he came back because of Ziva, who was pretty much the last person that made sense, but...ya know, never mind...)

The most shocking and unexpected season finale is, for me, season 5's "Judgement Day, Part 2."  When Vance assembles the team in his office at the end, only to break up the team and assign them to their new jobs... That was just WHOA WHAT THE HECK DID JUST HAPPEN?! (So yeah, it would've been a great answer to yesterday's prompt! LOL!)