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Avatar: The Last Airbender
"Winter Solstice Part 2: Avatar Roku." You aren't just going to learn the four arts because of tradition, Aang. You have to do it in less than six months, or the Fire Nation will conquer the world.
"Lake Laogai" also counts. Not only does Jet die, but
Appa also came back. The episode "The Earth King" has three whams in a row: The Dai Li remain loyal to Long Feng despite the latter's imprisonment, Toph is lured into a trap by Xin Fu and kidnapped, and the three Kyoshi Warriors are Azula, Mai and Ty Lee in disguise. Granted, these are relatively low-key, but they merely serve as set-up for...
"Crossroads of Destiny" the second season finale. in the wake of Ba Sing Se is taken over along with the rest of the Earth Kingdom, and Aang is killed Azula's plan. As intense as that was, the surprise that made it a real wham was Zuko's , Face-Heel Turn the last words of the season is what really drives the point home.
"The Boiling Rock Part 2", when Azula's "friends" Ty Lee and Mai betray Azula at the Boiling Rock. Azula, who has used fear to control them without any problems, is suddenly backstabbed by them.
"Sozin's Comet," the four-part series finale has one in the very first episode:
Ozai isn't going to use Sozin's Comet to subjugate the Earth Kingdom- he's going to use it to burn the entire continent to the ground.