The Prestige has a scene at the very end that really beats just about any movie before it in how shocking it really is. There is a lot in the movie hinting at the shocking twist. The entire movie, there is a man with Borden, named Mr. Fallon, who almost never talks, not even when he is being buried alive. There is also the way Sarah asks Borden quite frequently if he loves her. He always say yes, but she knows that some days, he does not mean it, but other days, he does. There is also the way Borden got into Sarah's house when they first meant. It is suppose to be just an innocent magic trick. But there is something a lot more to it.
In the actual scene where all of this is explained, Angier is watching Borden get hanged for his own death. Just as Borden dies, a figure appears and shoots Angier. Out of the shadows Borden is seen, very much alive. That is when Angier figures it out. There were always two Alfred Bordens. They were identical twins who pretended to be only one person while the other would be Fallon. They did it all to become the only people in the world to do the transporting man trick. Angier also reveals, as he is dying, that the machine Tesla had made made duplicates of himself. The person who had drowned was another one of Angier's duplicates who he had killed to keep out of the way. I don't know about you, but I saw none of that coming.