I'd have to say Jade Empire was my biggest jaw dropper. It was made even bigger since I was SO sure that the "end" was the actual end. Before even playing the game, I had seen what the final boss was like back when G4 was a thing. After liking the gameplay I saw, I ended up getting the game, got to said boss, then BAM plot twist.
To be fair, the plot twist is conveluted as all hell, but the story does lead up to it well enough that it can make some sense, and everything that happens after is is pretty well done.
I'd also say Bioshock. Though, that's probably because I only half-payed attention to the game's dialogue leading up to it. Then it came crashing back to me as it happened.