Every country has been a culture shock one way or another, but when I came to England:
the food! I was warned, but it was still a shock. It has marginally improved since.
Girls outfits on a night out in the middle of winter. Granted it's not the artic, but mini skirts, sandals and cropped top in January was a shock. Still is! Even when I go out I wear a coat and all kind of layers on top of my outfit. It's cold.
The social aspect: how it's considered so normal to want (and get) a council property subsidised by the government, and how widespread they are,
how the NHS is free entirely (apart from a small fixed rate for some prescriptions), you literally do not have to spend a penny at all,
how the schools are entirely free too, no request to buy books or stationery
and so many more example of how much help people get and take for granted.
It's obvious why the country is so desirable when so many people risk their life to reach it, when the rest of Europe seems just as safe, but it's a shock when you arrive.