Take Ned. He was always dead man walking, or at best sidelined to stay in Night's Watch forever. If you look a the ages of the characters, of the younger ones you have Robb, Jon and Dany as the oldest at 17-18 (13-14 in book). These characters were going to be shown coming into their own, but as long as Ned was alive or in prominence, that was never gonna happen. Being beheaded was a shock, but not his death
Jon has some disguises, but he's still very much the archetypical fantasy hero. He also can't really fulfill that role well and come to the fore as long as Robb was still alive. Sansa's story also kind of came to a standstill. Robb and Catelyn needed to be removed in order for her to grow ane become a future Lady in power. Red Wedding was shocking in it's execution and brutality, but those deaths were coming.
Jon dying. Well he refused Stannis offer saying he made an vow to serve for life. He needed to die and be revived so he could leave the Night's Watch and then do something.
The deaths that shocked me were Oberyn and Myrcella, especially the latter. Oberyn was fighting the Mountain after all, but Myrcella was just there