ROCKSTAR, if it helps, I Am Legend the movie is COMPLETELY different from the book, so that doesn't actually happen to Robert's family! Although it's still not all flowers and roses.
I was spared the shock in The Departed, because I'd seen Infernal Affairs (the original). Although of course, watching that the first time round, and seeing what happened at the end, shocked me and made me feel gutted.
Serenity - [sp]When Wash was speared so unexpectedly and out of the blue. I couldn't even move, I was so horrified. It still kills me, honestly. I love Joss Whedon, but I will never forgive him for that.[/sp]
The Usual Suspects - [sp]When you find out that Kevin Spacey IS Keyser Soze, and that he'd made the entire story up. That was some masterful storytelling right there.[/sp]
I can't think what else at the moment, so I'm going to have a think about it!