It is going to be a huge shock. Many people figure Robb will die, but pretty much none of them think it will happen in the middle of a wedding feast surrounded by his "allies". They figure something bad might happen with the Frey thing, but no way they guess a complete slaughter.
The books foreshadowed the hell out of it also, how they had to make sure to eat something to get guest rights. Frey starts out nasty as shit but they Roslin is attractive, then you start to think "Ah, he was just being nasty because he is Frey, but this marriage will be great for his family". Then boom.