How does Shakespeare create tension in Hamlet's first scene to surprise or mislead us?

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Shakespeare creates tension in the first line of the play when Barnardo, one of the guards on watch, asks, "Who's there?" He doesn't yet know that the man he is speaking to is Francisco, who is actually a friend of the Danish kingdom and a fellow sentry. This question is pregnant with uncertainty and anxiety about the Danish people's inability to distinguish friend from foe. Currently the kingdom is preparing for war with Norway, so the threat of foreign invasion is ever-present in the mind of the citizens in Elsinore. The question "Who's there?" will become the central question of the play, so in this way, this opening line neither surprises nor misleads the reader. As Hamlet says in Act 1, scene 5, "one may smile and smile and be a villain / At least I am sure it may be so in Denmark." His kingdom is full of "seemers"—characters who wear a false face to disguise pernicious intentions. For example, King Claudius pretends to be a virtuous king when he actually won the kingdom by committing fratricide; Rosencrantz and Guildernstern were Hamlet's friends from school, yet they are easily convinced by King Claudius to spy on him. In the corrupt Danish kingdom, no one can be trusted; no one truly knows "who's there" behind the mask. The tension in the first scene of Hamlet persists throughout the play until the final act.

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The tension begins almost from the start of the scene, as the castle guard changes at midnight. Francisco, the exiting guard, says, initiating a mood of foreboding,

Tis bitter cold,
And I am sick at heart.
Horatio then arrives, and we learn from Marcellus, a guard, that he comes to see the alleged "dreaded sight" of an "apparition." The unease ratchets up when the ghost appears, looking like the late king.
Adding to the tension, Horatio sees the ghost as a bad omen, stating,
This bodes some strange eruption to our state.
If that were not enough, Marcellus asks Horatio what's going on with all the shipbuilding seven days a week. Horatio says it is preparation for war, as Fortinbras is marching toward Denmark to avenge the death of his father at the hands of King Hamlet.
Horatio has a bad feeling about the coming war coinciding with the appearance of the ghost; he mentions that the murder of Julius Caesar and the civil war that followed his death were preceded by supernatural happenings:
The graves stood tenantless and the sheeted dead
Did squeak and gibber in the Roman streets
As stars with trains of fire and dews of blood,
Disasters in the sun . . .

Finally, the ghost appears again but leaves when the cock crows to signal dawn.

There may not be many surprises in the passage except for the second appearance of the ghost, but the play opens with a strong sense of foreboding: a ghost, an army coming closer, a dark night. By the end of the scene, the audience should feel a rising tension about what will happen.

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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.

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How does Shakespeare create tension in the second scene?

There are several distinct sources of tension in the second scene. The summary of political activities creates diffuse tension regarding possible wars and/or diplomatic conflicts.

Hamlet remains in mourning for his dead father, while the new king and Gertrude (the queen/Hamlet's mother) wish him to put that aside.

Hamlet wants to go back to college; the king and queen want him to stay. These all create social tensions, and then Horatio's account of the ghost links these to the tensions from scene one.

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