I honestly don't remember my initial reaction when Kefka turned out to be the main villain. I don't feel I was that shocked, because he was way more involved in the plot than Ghestal.
However, I do remember one thing perfectly of how I reacted when I was much younger...
When you control Leo for that one part, I was so fricking excited. And then to see his shock move for the first time.... even more excited. Then when he dies... I just was dumbfounded and couldn't believe it. It was like the biggest rush of excitement, to the biggest disappointment all within a very short scene. This scene may have been the reason that I wasn't at all shocked at Kefka being the main villain, especially as he took the power of each esper into himself and became even more powerful. Ghestal pretty much just sat around on his arse all the time.
THE JACKEL