I think the shock will be with the sheer slaughter. Depending on how they do things, I could see them ending the episode with is seeming like Rob, Cat, and Arya have all been taken out. Obviously Arya would pop up in the next episode with a lump on her head, but to even imply that not one, not two, but three of your main characters gets killed in what's bound to be a 5 to 10 minute period is pretty ballsy.
What I wonder is if the TV audience has really picked up on the Rains of Castamere at this point. In the books, the whole thing is thoroughly engrained with the Lannister name at this point, and as soon as you start to hear the words, you know all is lost. I'm not sure the audience will be able to have that same moment.
Also, I rewatched "The Bear and the Maiden Fair" and caught Jaime's line to Roose Bolton, "Make sure to tell Robb Stark that the Lannisters send their regards." So great.