Was it sad, maybe, depending on the person. Was it unexpected, No.
The campaign just screamed it at you the more you pressed on. I already knew before I got the game thanks to spoilers, but I still held out hope throughout playing that somehow, it was a lie. It obviously wasn't. I kept telling myself "there's no way they'd kill off Cortana." and then they did. Still remember that night, felt like a storm had passed after I had finished the game. It also was weird, that as I finished the game, it turned into dawn.