First time this happened to me in Split/Second made me go "What the fuck?! They brought down an air traffic control tower!?" first, before moving on to "OH SHIT!!!" soon after. I did not survive my first time.
On a similar note, the crashing airplane in the Dead Air campaign of Left 4 Dead 1 also gave me a similar reaction.
Soul Calibur V's story mode made me loudly ask "What the fuck?" several times. Mostly due to the very short length, attention given to only two, three characters at most, lack of cutscenes (instead having to often watch power-point presentations with voice-overs, basically) and the fact that it wasn't even finished, considering that a lot of planned shit was cut due to time constraints. Also, Kilik becoming a mimic character. You know what? Just about everything other than character creation and online play made me ask "What the fuck?"
They should have just delayed the fucking game, mumble grumble...
Playing Tetris (or "Russian Falling Blocks" if you will) in Trials Evolution as a user created mini-game gave me a joyful "WTF!?" moment.
Finding out the Chromehounds multiplayer servers were shut down. Shame, really, because that game is bitching.
Several user-created car designs and vinyls on Forza Motorsports 3/4 gave me a good "WTF!?" moment.
The entire concept of Katamari Damacy and the following games is one gigantic "WTF!?". I still love those games though.
That's all I can think of for now.