How does Shakespeare create tension in the first scene, and how does that surprise or mislead us?
Shakespeare creates tension by having the guards, who are, we can assumed, trained and experienced men of war, talk about their worries and fears in front of us. Soon thereafter, the stakes are increased by the entry of the ghost. The tension is raised still further because the men don't know for sure that this is the dead king—only that he looks like the king. Finally, Horatio talks about how the nature of things is upset when a great ruler dies—the heavens, the land, etc. We can then expect things to go badly.
Surprise us? The ghost's entrance is a surprise.
Mislead us, though? I can't think of any ways, really.