Enh. The actress had already been given away by her voice. And I had already figured that Yesterday’s Enterprise meant Yar could return to the series. Of course it wasn’t Yar.
Ari shooting Kaitlin at the end of season 2 of NCIS was a bit of a WTF moment opening the way for Ziva. And director Sheppard a few seasons later which brought us my most disliked character, director Vance.
Maude and the t-shirt.
In fictional TV, TVLand’s 2005 list of most unexpected TV moments were:
The Newhart finale
Bobby Ewing alive on Dallas
Seinfeld, Susan dies from poison stamps
St. Elsewhere finale
ER, Romano meets helicopeter
Henry Blake’s death on MASH*
Since Newhart and St. Elsewhere were show finales, they probably don’t fit the OP. Of the other three, I don’t think anything in “a show about nothing” actually qualifies as
In fact, I’d argue Susan’s death didn’t change the show one bit. Bobby Ewing’s resurrection has been discussed and dismissed.
That leaves Romano vs. Blake. I saw both shows the first time they each aired. Romano’s accident was certainly shocking, but for stopping the viewers dead in their tracks, discuss the next day at work, total disorientation, emotional wreckage, I don’t think anything else ever had that impact, at that time.
Although if Edith Bunker had not escaped her rapist (possibly the most frightening moment on a sitcom ever) or had died during the season on All In the Family, that would be my choice.
Well, it leaves Romano vs. Blake, and everything aired after 2005. 
When Sonny Bono skied into a tree.
Oh, wait . . . .
I have to mildly disagree with you there. The callous manner in which Jerry, Kramer, Elaine, and George reacted to her death was meant to change how the viewers felt about the characters and drive home what truly awful people they really were.
I agree completely.
Obviously, people who’d read the books (I haven’t) knew that was coming, but I NEVER expected a TV series to kill off the star in the first season!
I also gasped when the little girl walked out of the barn in Walking Dead.
I was devastated and did not see it coming at all.
As a long-time Star Trek TOS fan, I eagerly awaited the premiere of Star Trek: TNG. Now, I knew from having read The Making of Star Trek and The World of Star Trek ( heh ) that the upper saucer could detach from the lower hull.
Who the HELL expected it in the opening scenes of the pilot episode ??
To me, shocking and completely delightful. Here’s a whole new crew making new use of the ship. COOL !
My first thought was, as it was for many others, Henry Blake’s death on MAS*H.
Wasn’t it JOE Coffey?
You know, Henry Blake’s death wasn’t game-changing, even though it was shocking, because he was leaving anyway-- it was meant to drive home the futility of war.
For game-changing, I’ll second the nomination of Lenny taking that drink and then catching a ride home with Claire on L&O.
Point taken.
From a non “major character dying unexpectedly” point of view, how about Monica ending up in bed with Chandler on Friends?
See now, for this one, having seen the original series, I was just waiting for it to happen and wondering how it would go down.
I have to admit that was a stunner as it came out of just no ****ing where.
Me, too.
And the actor was Ed Marinaro. Close enough an all that… 
Seriously? I mean, they spent the better part of what… 2 or 3 episodes looking for the girl, and it didn’t occur to you that she was probably a walker and going to meet a grisly end?
They couldn’t have telegraphed that one any more. Granted, the scene where she buys her farm was pretty gut-wrenching, but it’s not like they snuck it up on us or anything.
On the old “Batman” tv show where Batman and Robin were climbing up a building and who but Colonel Klink from “Hogan’s Heroes” pops his head out and says he is looking for escape tunnels (like whats a WW2 German POW commander doing in 1969 Gotham City?). It also shocks the caped crusaders who say “tell Colonel Hogan hello from us”.
Great choice! I suddenly remembered how my sisters and I were hooked with this series.