This felt like a long time coming, but Rick was forced to kill his once best friend. On top of that, the undead version of Shane was eliminated by Carl in order to save Rick. Shane just wouldn't stay down.
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Maybe it was shocking T-Dog lasted as long as he did, but he became that underdog to root for. He also went out a hero, letting himself be bitten so Carol could survive.
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This friend of Hershel's family may not have lasted long, but the fact that Shane shot him in order to survive was a surprise. Who knew Shane had it him?
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Her storyline may have dragged on, but it was still a shock to see Sophia stumble out of the barn as a walker. It was a powerful way to end the midseaon finale of The Walking Dead Season 2, especially with Rick finishing her off for good.
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She was crazy to begin with, but the fact that Carol killed Lizzie revealed just how dark the world has become. And it was a bold move by the show itself to not back out from such a controversial death.
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Hershel's beheading initiated the final prison battle against the Governor. It was a graphic death enhanced by the shots of his screaming daughters.
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This death was shocking made for the fact that viewers saw the reveal the same time as Daryl. Merle ended up a walker, but he still managed to do one last good deed in taking down some of the Governor's men. You even secretly wished he lived.
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Lori's death was a true surprise not only because she went into labor after a walker attack, but Carl then was forced to kill her. The fact that it took place so early in The Walking Dead Season 3 made it even more surprising and revealed that truly no one was safe on the show.
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The Walking Dead Quotes

You walk outside, you risk your life. You take a drink of water, you risk your life. Nowadays you breath and you risk your life. You don’t have a choice. The only thing you can choose is what you’re risking it for.

Hershel

Anger makes you stupid. Stupid gets you killed.

Michonne