Akira Toriyama loves throwing curve balls in Dragon Ball but some were just so shocking it would simply leave your jaw on the floor.
When Goku tells Bulma, Yamcha, Oolong and Puar about the night a giant ape monster killed his grandpa when the moon was full. After a few minutes of Goku's reminiscing (in which he recalls how his grandpa told him never to look at the full moon) the gang, petrified, scoot into the corner and deduce that Goku was the monster that night.
Yamcha: I-I-I had a f-feeling he wasn't an ordinary k-k-kid...!
Bonus points for Oolong's question after their escape: "So what is he, some kinda space alien?" Fast forward to the beginning of Dragon Ball Z, where we find out that this is indeed the case.
Goku takes on Demon King Piccolo to exact revenge for one of his subordinates killing his best friend Krillin. Seems like the typical Shonen battle set up: Main protagonist takes a on the Big Bad to get revenge for harming the protagonists friend. After Goku takes the initial offensive and seemingly overwhelms Piccolo, Piccolo decided The Coats Are Off and proceeds to kick Goku's ass six ways to Sunday. He beats Goku so bad, that for a short period of time Goku was dead. Piccolo then takes the Dragon Ball around Goku's neck and proceeds with his plan of wishing for eternal youth. Which he succeeded in doing so in the end.
Krillin's first death. After a tournament, the gang go out to eat, but Goku realizes he's forgotten something, so Krillin decides to go back and retrieve it. Goku has an uneasy feeling throughout dinner and finally snaps and runs back to the tournament grounds... to find Krillin dead. This set the tone for the King Piccolo arc, and is considered to be the turning point of the show when it became more serious.
At the 23rd World Martial Arts Tournament Kami launches the Evil Containment Wave at Piccolo Jr. with the intention of sealing him in a bottle... only for Piccolo to reverse the techniqueand imprison Kami instead.
The ending of Goku's battle with the Ginyu Force. For the last several episodes since his arrival on Namek, Goku's been moping the floor with the Ginyu Force, and has finally confronted Captain Ginyu himself. Goku should eventually just beat the Captain as easily as he did his men and get ready to take on Freeza, right? Except Ginyu reveals he has the power to steal someone's body, and proceeds to steal Goku's for himself! Although Goku is eventually able to regain control, the damage dealt to him while Ginyu was still in charge leaves him in heavy need of hospitalization. Which means Freeza is still out there waiting to attack, and and the Z Senshi's biggest powerhouse has just been taken out of action.
The first time Goku transformed into a Super Saiyan, a direct result of Freeza killing Goku's best friend, Krillin (yes, again) and mocking him after the fact. Before that, Piccolo's seemingly senseless sacrifice, thankfully Freeza didn't mock Piccolo. Not just because the whole scene was epic but also because the normally cheerful Goku's disposition drastically changed. Besides the fact that he was revealed to be the legendary Super Saiyan, his looks changed and he became more powerful. No one was quite sure of what was going on with him; not his son Gohan nor Freeza nor the audience.
A minor one in the beginning of the Android Saga, when it was revealed that the mysterious sword wielding Super Saiyan was in fact Trunks the son of Vegeta and Bulma... who hasn't even been concieved yet.
Trunks' entire introduction prior to this was a Wham moment too. Prior to this, the it was firmly established that the only living Saiyan characters were Goku, Vegeta, and Gohan. His reveal as a Super Saiyan revealed that somehow, someway, there was somebody else with Saiyan blood.
The episode that follows it is just as much as Wham Episode, if not more so: Vegeta is knocked senseless in a failed attempt of Roaring Rampage of Revenge for his son's death at the hands of Cell, Gohan ends up losing an arm trying to save Vegeta from being killed by Cell and Cell then starts to charge a kamehameha with enough power and energy to destroy the solar system.
Kibito is killed by Dabura and in the same episode Krillin and Piccolo are turned to stone.
Vegeta becomes possessed by Babadi's magic and then kills 200 innocent bystanders at the World Martial Arts Tournament stadium.
Majin Buu turns Dabura into a cookie and then eats him, and absolutely owns Super Saiyan 2 Gohan and one of the rulers of the Universe!
Vegeta kills himself in epic fashion in an attempt to kill Majin Buu. It didn't work.
When Goku had to distract Majin Buu the first time he fought him everyone thought he would share the same fate as Majin Vegeta. That was until Goku revealed that he had a Super Saiyan 3 transformation. This of course shocked both the audience and the characters a bit, echoing the Super Saiyan transformation in the Freeza Saga. This ended up as a Crowning Moment of Awesome in the show showing one of the most spectacular transformation sequences ever.
The next episode takes it up a notch. In that episode Mr Satan gets shot and while he succeeds in saving his life the grief is all to much for Majin Buu as his desperation to not do anything bad as his friend Mr Satan had instructed him so, such as being angry, lead to his anger manifesting and creating Evil Buu.
And in the next episode Majin Buu gets turned into candy with his own attack and gets eaten by Evil Buu. Leading to Super Buu being born an even stronger, eviler and smarter version of Buu. It then takes him no less then a few seconds to then find Z Fighters on Kami's Lookout, who for record were totally unprepared.
Piccolo destroys the door of the Hyperbolic Time Chamber trapping Super Buu in the time chamber... along with himself and Gotenks.
Gotenks becomes a Super Saiyan 3 and use his new power to rip a hole through a dimension and escape the time chamber along with Piccolo... but not in time to stop Super Buu from turning all of their friends into chocolate and eating them alive.
As Gotenks defuses inside Buu, cutting Buu's power to less than a third Super Buu is seemingly on the edge, Super Buu then out of nowhere, absorbs Gohan, giving him a great increase in strength and leaving Goku with no-one left to fuse with other than Mr Satan.
Kid Buu becomes first villain to destroy the Earth and in the process killing Goten, Trunks, Piccolo, Gohan, Tien, Chiaotzu, and any Earthlings who may have survived Super Buu's Human Extinction Attack. The only people who survived were Goku, Vegeta, Dende, Mr Satan and Bee the dog. Of all the dark times there have been in Dragon Ball Z, this was undoubtedly the darkest.