FFI: The airship rising out of the desert.
FFII: Joseph dies, The dreadnought destroyed some of my favorite cities.
FFIV: There is a world below the Earth's surface.
FFV: Galuf dies.
FFVI: The world is no more.
FFVII: Aeris dies.
FFVIII: Riona and Squall float around in space(I seriously thought Riona might die).
FFIX: Cliera(SP) gets destroyed by Odin, Zidane is a geonome
FFX: Tidus is a dream
FFXI: Price (The biggest WTF/Holy $#!T moment ever)
FFX-2:Vegnaguns size, Tidus is back.
FFT: The Beolve family feud, when algus kills Teeta, Feeling the death corps pain

Just because of FFC,

CT: Queen Zeal goes nuts (When she was first metioned I expected her to be a kind and caring person for some reason) and when Lara lost her legs (Not entering the code the first time)