I was at a bar watching the show with a big group of people, the reactions were crazy. The bartender was screaming the whole time. One dude stood up, flipped off the screen and then proceeded to curl up into a ball for the next hour. After the show, people were sitting around completely shocked.
That being said, I was no different. I haven't read the books so I was completely shocked. The way the whole scene played out was just crazy. Not just killing the pregnant wife, but stabbing her multiple times in the stomach, holy shit.
Then when Catelyn grabs the old dude's wife and asks to spare Robb -- I was like, ok, brutal scene, but this is how they get out of it. But nope..
It was badass though.. That's one of the reasons this show is so good. Anytime one of the characters are in danger, you really don't know what is going to happen. Every other show/book/movie you know which characters will live and which are expendable.