My favorite death was Walder Frey because of the bad *** way Arya did it.
The saddest death was Hodoor, because of the way they tell his past in this scene and he just looks so pitiful.
Shocked? I wasn't actually shocked by any of them, I was always waiting for someone I loved to be killed. Honestly, the most shocking one was Cersi because her death wasn't good enough for her character. She was a mean, evil ***** during the entire show and I think her character worked hard and in turn should have received a more well suited death. However, that probably isn't the type of shock you mean. I was surprised the most by Prince Oberyn's death. I mean, he had The Mountain down, he could have defeated him then and there but his boasting was the ruin of him.