I wasn't expecting Lilly to fly so far off the handle that she'd murder another member of the group in cold blood. Carley getting shot in the head took me completely by suprise.
The runner's up for me would be Katjaa, and Duck. I totally wasn't expecting Katjaa to commit suicide, since she always seemed a more reasonable and less ruled by emotions than Kenny. She also seemed to be handling Duck dying as well as could be expected, all things considered. Finding her on the ground with a self-inflicted gunshot wound shocked me nearly as much as Carley being killed. Initially I thought the gunshot had been either Kenny or Katjaa taking care of Duck, before Lee could do it.
By the time Duck died of course I knew it had been coming for quite some time. The moment his bite was revealed, I knew he was lost. I'm sure that was also true for most other people who played the game. But I'd rank that bite reveal as being nearly as shocking as Carley's murder or Katjaa's suicide. I'd say nearly because part of me did fear that Duck or Katjaa may have been bitten or scratched when wrestling with that zombie, and only the lack of any mention of bite or scratch immediately afterwards left me feeling that they were safe.
Lee's death I predicted way back in episode 1, so I didn't find it shocking at all. Since at heart Lee's story is one of redemption, I knew he was going to end up redeeming himself by sacrificing his life to save Clem's. Of course, that didn't make it any less heartbreaking when it happened.
The saddest death however for me was Duck's, followed by Lee..