It's hard to decide on one single favorite. Some that I'm particularly fond of would be Mega Man X, Uncharted 2: Among Thieves, Assassin's Creed III, and Mass Effect 2 though.
I'd consider the entirety of The End of Evangelion to be a really shocking ending because I had no idea what I was in for.
And I loved it all. 10/10 best ending in anime.