My brother told me that every line of dialogue in the first episode of Madoka Magica was important. They still managed to tell me half the story in the first episode without spoiling a thing.
He also commented several times on the amount of unbelievably blatant foreshadowing they put into Bioshock Infinite, and while granted, I did see ONE of the Big Reveals coming, the rest caught me completely off guard.
Someday, I want to write a story like that.
I think I've figured out how they did it: make the main character believe that everything is what it seems, and write the story with the mindset that things are the way you want the audience to think they are. Do that, and you can drop in all the hints you want to on the side, but only the canniest will catch on.
Have you ever experienced a story like that? Obviously, I don't want any specific spoilers, but what would you say is the story that caught you the most off guard?