I've got a number of surprising discoveries that I can't really pick one out of all the shocks I've found.

About 15 years ago my parents started researching their family tree. I was a teenager at the time so didn't take much interest in it. Bring it to the present day and I've started researching it all myself from scratch (prefer doing it all myself as I get more satisfaction from it that way).
My family never knew much about my paternal grandfather's line, he was illegitimate. They didn't have much luck tracing anything there. His father (my g-grandfather) was also an illegitimate birth and I couldn't find his birth record at all nor anything about his death. With thanks to this forum I found out that my g-grandfather was born with a different surname and a few years later his surname was changed at some point. The surname I have is actually wrong as a result. We have his step-father's surname. I should be a 'Small' not a 'McKenzie'. My family were all convinced they were 'McKenzies', wearing the tartan with pride at family occasions. They should really be wearing the 'Murray' tartan, given that 'Small' is a sept of the Murray Clan.

It's really opened up a massive tree now. I'm so thankful to this site for helping me answer a long and frustrating question.
I discovered that my g-grandfather died in WW1 in a Canadian regiment. He emigrated there in 1911. Hence not having much luck in finding anything regarding his death as this was unknown to us before.
Going further back I find that the Smalls I am descended from, hail from Moulin and Kirkmichael in Perthshire, Scotland. My 6x great-grandfather only had one child that I can find from any indexes. I thought this to be strange for the mid 1700s. If his wife had died then I'm sure he would've remarried to have more children. I discover other trees online that state my 6x great-grandfather was heavily involved in the Hudson Bay Company and the Northwest Trading companies in Canada. Which would explain why he only had one child in Scotland. Apparently he married a Cree woman over there and had numerous children with her, then later abandoned her after he retired and went to England and died there. Whether or not this is the same person as my 6x great-grandfather is yet to be known. But I have a strong suspicion at the moment that he is given the dates, being from Scotland etc. There are many online documents about this man giving his story.
I have also been researching my maternal line. I found out that my 2x maternal great-grandfather shot himself in 1914 at the age of 65. He was found in an outhouse in a cemetery near his home in the town I'm currently living in. There was a very detailed description in the newspaper archives that I'd found. Pretty shocking and unpleasant. There was no record of him being mentally unwell (i.e. no hospital admissions that I can find). He had been visiting his son that night and it was noted in the report that he had seemed fine. It's all very curious. Whether or not his son had said something untoward to him that had caused this will forever be a mystery. This was previously unknown to my family also. I'd imagine that type of thing would've been kept hidden back then.
And finally; I have recently discovered that my 4x great-grandparents on my maternal line are the same two people that are the 5x great-grandparents on my paternal line!
This was a bit of a shock to me as there was a reasonably large area covered for my ancestors i.e. not the same town! This couple had a son called George and through this son it goes down to my father. They also had a daughter called Mary and this then goes down to my mother. I found it all a bit disturbing!
I think that covers everything from my tree. The rest of my tree is average, usual ag labs, domestic servants. Mostly country people. Rarely any are found in an urban place. There are the odd branches that have people emigrating to Canada and the US but nothing unusual there.