The only thing that took away some of the shocking element from Diana is we knew (those of us still up that late Saturday/early Sunday) she was in a car crash so we were all waiting for the update. Of course when that update came a few hours later it was still shocking (it also remains the biggest celebrity death in my lifetime as the entire week after it was wall to wall coverage then the funeral). During those few hours waiting for updates there were conflicting reports of "sustained life threatening injuries", and "minor injuries, she walked from the wreckage", so there was confusion, and then the news she has died broke.
Think if I'd woken up that Sunday morning, knowing nothing of the crash, and then heard/seen the headline, Princess Diana dead, I'd have been numb.
It's why I'd put Winehouse as the most shocking as it was the way I found out by casually searching for the showbiz section on teletext and being confronted by the headline, Amy Winehouse dead. No build up, no warning, nothing. She's dead.
Michael Jackson, again like Diana, we knew he was in trouble before his death was announced as it showed the ambulance going to the hospital and that he was in cardiac arrest. Then a few hours later he passed away and the announcement came.
Having said all that the Queen's death was utterly shocking. We had a fair idea of what was going to be announced for about 3 hours beforehand when the news coverage switched to her, and you saw the family make a beeline to Balmoral. But the moment when it was announced (was watching Mary Nightengale on ITV and she took as long nervous pause before saying the words) was still a 'my God' moment. There has been no more famous person than her in our lives, from grandparents to kids, and she was gone. So many news presenters struggled to announce her death.