Well, there are many. GRRM is renowned for surprise & abrupt endings of favorite characters. The Red Wedding, The Knights of the Vale Rescue act, Theon Greyjoy’s capture, even Jon Snow’s slaying of the White walker comes to mind obviously… But here, I would discuss one such incident, which was relatively underrated, but actually changed the course of events a lot !!! And yes, it really shook me… Theon Greyjoy’s betrayal & capturing of Winterfell with a handful of men 
Theon is an ideal example of person split between right & wrong, so much so that his mental disintegration at the face of Ramsay’s torture was not unlikely. The son of a worthless & weak, yet proud family, but raised by a man who was thoroughly a better & a kind person, Theon was always torn between the Starks & the Greyjoys. Coming back to the incident, it triggered the fall of the “Young Wolf”, Robb Stark, who was blind from his affair with Talisa. 
And it was so abrupt, that initially i thought that Bran was dreaming !!!
I know it's funny that I would choose this moment, considering I was the one to actually orchestrate it !!!

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