Even in the book, it was hardly such a surprise... The book is a long foreshadowing that Ned is doomed, like Jon before him. The tone of the series (even by that point) is realistic and bleak, you don't expect many will get as lucky as Tyrion at the Eyrie, and the storyline of Asoiaf is pseudo-historical. It's a genre in which the deaths of important players is required to move plot along by reshuffling the board.

As for the TV viewers... It's not the first time important characters leave a story early one way or another, all the more on HBO, and in historical dramas in general it's not so common on American TV networks, granted (but it's been done before, and quite a few times in fact). International viewers have seen this done even more often, for e.g. One of the most popular British dramas (Spooks) has been killing off (or grtting rid in other ways) of it's cast on a regular basis, starting with it's lead in season 3...

No doubt many will be surprised Ned isn't saved in some way, but I don't think it will make as much media noise as some fans think it will.