I just remembered my biggest WTF moments - it was in FFVII, when I'd just crossed the swamp with the Midgar Zolom in it and gone through the cave at the other side. I came through the cave and saw the other Zolom impaled on a tree, and Cloud said that Sephiroth had done it. With all the build up of the hitherto mysterious Sephiroth (the evidence of him stealing Jenova and killing President Shinra) culminating in the impalement of a giant snake with a full size tree, I was like WTF WHO IS SEPHIROTH HE MUST BE THE BADDEST MOFO EVER (which turned out to be largely true)!!!

That was definitely my biggest wtf moment in FF

Oh and also when Palom and Porom (SPOILER SPOILER SPOILER) and then when Yang (SPOILER SPOILER SPOILER) and then Cid (SPOILER SPOILER SPOILER) In FFIV, those moments were pretty harsh.