I am going to name three that came readily to mind:
***SPOILER WARNINGS***
(3) For third place, I can't decide between
the death of L in
Death Note, or
the death of Mami in
Puella Magi Madoka Magica. In both cases, I was not all that surprised but they still intrigued me with the sudden ratcheting up of the drama in the former (because it happened so late in the story when you think things are resolving) and raised the stakes in the latter (because it happened early, with the third episode, and thus set a whole new tone for the remainder of the series).
(2) In
Tengen Toppa Gurren Lagann, we had
the death of Kamina at a point where we were just not expecting it. A real WTF moment.
(1) The top twist has to go to
Full Metal Alchemist which had the shocking reveal of what happened to
Nina the daughter of Shou Tucker. I won't spoil it, but I will never, ever forget that little event in Anime. Just, wow...
So I guess we can say that Game of Thrones had
nothing on these anime.