One good example comes in the beginning of the story, as Rainsford swims towards the island:
He began to count his strokes; he could do possibly a hundred more and then -- Rainsford heard a sound. It came out of the darkness, a high screaming sound...
Because of the history of Shiptrap Island as unoccupied, and because of Rainsford's focus on surviving, the screaming sound comes as a shock to both him and to the reader.
Another example comes near the end, as Rainsford believes that he has managed to lay a false trail and avoid General Zaroff:
The general's eyes had left the ground and were traveling inch by inch up the tree... the sharp eyes of the hunter stopped before they reached the limb where Rainsford lay...
(Connell, "The Most Dangerous Game," classicreader.com)
Here, the reader is expecting a confrontation and a fight, but Zaroff deliberately turns back. Rainsford is surprised, and at first relieved, but then he realizes that Zaroff is deliberately prolonging the hunt so as to get more pleasure out of it. Finally, Rainsford's survival and confrontation of Zaroff at the end of the story is certainly a surprise to Zaroff, and with the reputation of the deadly cliffs of the island, likely to the reader as well.