Someone who's shocked is unpleasantly surprised. A shocked audience might gasp and cover their faces as the sword swallower begins to actually swallow a sword.
In its earliest use, shocked described people who were "shaken violently," like the shocked victims of a car crash or a shocked survivor of the Titanic. Today it's also used to mean "scandalized," like the shocked readers of a gossip column. Shocked can be traced back to the noun shock and its original sixteenth century meaning, "a violent encounter between warriors."