Mine would have to be WTF moments I enjoyed as opposed to ones that pissed me off:
The twist in Bioshock is my personal favorite surprise moment ever in a video game. "Would you kindly?", your character's origin, and Atlas' true identity... man, that's my favorite game since graphics went to polygons.
Others that come to mind are beating Castlevania: Symphony of the Night "properly" to open up the entire second castle (!), having to fight Donkey Kong in Punch Out Wii, and the 5th boss "fight" in No More Heroes. I lol'd.
EDIT - Oh, and the moment you encounter Lisa Trevor in the Resident Evil remake for Gamecube. I literally said, "WTF!?".







