I think that’s the finest compliment an author can get from a reader: I didn’t see that coming.
Surprising the reader is not easy. First, you have to give the reader a sense of where you’re heading – without being so predictable they stop reading – then pull the rug out from under them at a critical moment.
I was reminded of this when one of my CP’s, Krystalyn Drown, pointed out that in the latest chapter of my WIP, my protagonist jumped to some correct conclusions awfully easily.  He made assumptions based on little evidence that turned out to be correct.  And her comment made me think that my interests might be better served if the protag made assumptions that turned out to be wrong – especially if I let the reader think he was right, and then surprised them later.
A few years back, I was working on my short story, Necromancer, with Mike Katz, who was editing the story for an anthology.  I needed to revise the ending, and Mike suggested two alternate ways to conclude the story — A and B.  I decided to re-write Necromancer using ending B, after totally rejecting ending A.  Pleased by the results, I emailed Mike the new draft only to have him send it right back. “That’s good,” he said. “Now, revise it again so that readers think you’re heading for ending A and then surprise them at the last minute with ending B.”  My jaw dropped. It was brilliant. And I was rewarded when readers of the final version told me, again and again, “I didn’t see that coming.”
Have you pulled the rug out from under your readers lately?
BTW: That creepy guy in the picture is the cover image for Necromancer, and a cool side note to this story is that the set designers of the TV show 30 Rock purchased the rights from the artist to use it in the background set of an episode … only, they never did. Rats. But I have a copy hanging in my house, where it occasionally freaks out visitors and makes people think I’m into the occult.  They didn’t see it coming!