For xbox i think it was in braid when the princess happens to be in a different castle

For Nintendo i think it is in zelda twilight princess when you get all three fused shadows and you think you are off to fight the boss, but then zant takes them forcing you to go to get them by getting the mirror pecies to the twilight

Last, for sony i think it would be MGS 4 when you find out big boss is not dead and when snake does not commit suicide

Tell me what you think is the most shocking moment