You know what I mean...the ones that made you actually freak out, drop your controller, gasp out loud and/or do a Keanu Reeves-esque "Whoa."
For me:
-Golbez is revealed to be Cecil's brother. (FFIV)
-Sephiroth kills Aeris. (FFVII)
-Sin vaporizes the Crusaders and Al Bhed. (FFX - and this is as far as I've gotten in the game; I'm sure there will be more.)