Religious practices are a matter of perspective in part. The Spanish were horrified by Aztec human sacrifice, while Aztecs were shocked that Spaniards ate their god during communion; what other practices of western religions might be shocking to others if you view them from different perspectives?
Since the question refers to Western religious practices I'll focus on those. Some would consider the idea of drinking the blood and eating the body of Christ, even symbolically through bread and wine, as a strange practice. They might consider celebrating the birth of Jesus in December instead of the spring, based on the date of a pagan holiday in Europe as strange if they investigated a little bit, or the fact that we sometimes celebrate such an event with large inflatable snow globes and a red-suited mythical figure that lives up North who brings us presents. They might also find the celebration of the resurrection of the Son of God being celebrated with eggs, bunnies and chocolate as a bit strange.
When I was in South Korea, I was a little surprised that the professors and the president of the university where I taught put money in the mouth of a pig's head and kneeled down to it on a rug before each school year began. They told me this was a prayer lifted to God for the success of the university and all those who worked and attended there, but it just seemed a little sacriligious to me.
There are several western religions which advocate faith healing and the refusal of modern medicinal practices. Certainly, the many accusations (and admissions) of Catholic priests and their less-than-paternal relationships with underage boys has to befuddle many non-westerners (and many westerners as well).
If you are asking for shocking elements from the modern versions of western religions, some are extremely shocked to find out that many sects of Christianity preach celibacy for humans until marriage. While this would have been a common practice several decades ago, it is an unusual practice to many today.
Additionally, if one studies certain rituals of Mormonism, those rituals and beliefs will seem quite shocking (sacred garments, marriage-by-proxy for deceased individuals, etc.).
Finally, in some areas of the Appalachian Mountains, a few "Christian" churches practice snake handling because they believe that God intended for humans to have faith in Him that the snakes would not harm them.
A massive part of Christianity which has caused endless problems is the sacrament of Communion. Early Christians found that others believed they were cannibals, because others thought that when Christians talked about eating the flesh and drinking the blood of Jesus, they were actually doing that, rather than just using wine and bread as symbols.
If we are counting Judaism as a western religion (I assume that we are) then I would say that circumcision might be shocking to others if viewed from a "neutral" perspective.
It wold seem very strange, I think, to imagine that it is religiously important to cut off that particular part of an infant boy. When people in other cultures do a slightly similar thing to females we call it genital mutilation. (I think what they do is much worse, but that is my Western perspective.) When we do something that has been in our culture, it seems normal.
This is the only religious practice (as opposed to belief) that I can think of that would actually seem shocking (as opposed to weird -- like Catholic priests being celibate) to me.
Aspects or practices of any religions, either western or eastern, which can be truly shocking, relate to the rituals associated with the religion, and the practices that are sometimes followed by the leaders of the organized religion. The basic principles of all major religions are similar in many respects and are appreciated by most wise people except the very intolerant.
Some ignorant people, generally full of ego, may find almost any thing different from what they like and believe in as shocking. I believe, nothing should be considered shocking, just for being shocking to such people.
Further, I believe what is truly shocking in a religion is shocking to wise men of all religions, and not just those of other religions. Unfortunately, every religion of the world has such shocking aspects. I am giving here an example a shocking aspect of Christianity because the question is about western religions. This does not mean that Christianity is the only religion to present such shocking example.
One of the most shocking aspect of Christianity for me is the burning at stake of Saint Joan. This incident represents the worst of a general practice of persecuting the so called heretics, followed by organized christian religion for several centuries.