A surprise which makes the players think, "ah, now I understand!" is usually going to be easier for them to get behind than a surprise that makes the players think, "what? None of this makes sense any more", although the latter is more challenging. So if your big reveal can release a tension ("OK, so that's why the mooks have all seemed kind of unhinged: they're cultists!") as well as create one ("uh oh, we are really out of our depth with these extra-planar horrors") then it will feel more logical and probably more fun.
Finally, if the players know all along that their expectations are likely to be subverted in some unknown way (because you've told them that's what you like to do or shown them that in your previous games) then they'll find it easier to follow the change when it happens. Knowingly playing a bunch of rubes whose minds are about to be blown is often more fun than being a rube whose mind is about to be blown, but it's a different (and perhaps lesser) form of expectation-subversion when it actually happens.