One big problem I experience again and again with GMing is managing to genuinely surprise the players. How can you throw them into a real state of confusion and fright, as opposed to just fake, in-character shock? In other words, how do you get around the fact that the players will have read most or all of the supplements for a given game, and are highly unlikely not to have heard of that special trick you have up your sleeve?
To illustrate: a friend once told me a story about a D&D game he was involved in. He and the other players were walking along a road in a forest and came across an old woman apparently caught in a snare, who begged them to help her. They immediately assumed the worst, threw a sack over her head, and beat her to death. And sure enough, it turned out that she had been a wolfwere. The look on the DM's face must have been priceless.
A funny story, but annoying and unrealistic in the extreme, and one that sums up the problem perfectly: the players are suspicious not due to any in-game reason; they are acting and reacting based purely on the supposition that the DM must always be up to something. Verisimilitude goes out of the window. I call it The Verisimilitudinous Wolfwere Problem Brought About By Too Much Player Knowledge, or TVWPBABTMPK, for short.
One way to get around it The Wolfwere Problem to cheat, put on your best poker face, and bluff that no, actually, the wolfwere wasn't a wolfwere at all, and oh look, you guys just killed the local almighty archmage's dear old grandmother... But there's something deeply unsatisfactory about gamey tricks like that - it feels like reloading a save in a PC game - and besides, my poker face has never been good enough to pull it off anyway.
The better solution is to get creative, by playing around with the 'standards' and well and truly messing with your players' expectations. I'll be putting some ideas up tomorrow on how to do this - put your own in the comments, why don't you?