I'm not going to lie, I was a complete wreck by the time I finished Mockingjay. I don't think I've had this strong a reaction to reading a book since Harry Potter and the Deathly Hallows.
For me, there were 2 shocking deaths in Mockingjay. They took me completely by surprise and it took rereading for me to convince myself that they actually died. I am talking about Finnick and Prim. We got to know so much about Finnick, and he became one of my favorite characters. I didn't see his death coming, and when it did I didn't believe it. I honestly don't know how I managed to keep reading after that, but these books are hard to put down once the action starts.
I knew Prim's death was coming (it was one of the main reasons I never wanted to read THG), but actually reading it and reading Katniss' reaction afterward was tough. I think what was shocking about it was who was potentially responsible for her death. Suzanne Collins placed Prim's death at a good place in the novel because if it happened any sooner, I don't think I would have finished the book.
So what is everyone's opinion on the most shocking or even saddest deaths in Mockingjay?