It is, usually, important to make sure the players are aware of what sort of campaign you're planning on running with them. This is not universally the case, though.
One option is the deliberately secret campaign. Set up your players as though they're playing in a contemporary cops and robbers setting. Or a Wild West game. Or a standard pseudo-medieval fantasy campaign.
And then things start to go a bit screwy. The PC cops uncovers some weird cult activity. The western gunslingers stumble on creepy ruins of a native settlement. The fantasy adventurers find a strange item of power in a dragon's lair.
Reports start coming in from across the city of people dying mysteriously, their intestines ripped out, in sealed rooms. The native ruins contain dusty pottery jars, that make weird moaning noises when touched. The magic item has a button which releases a blinding beam of light that disintegrates anyone it touches.
The grisly murders are connected to the cult collecting enough life essence to summon forth eldritch Things That Man Was Not Meant To Know! The jars contain ghosts that suck the life force from people and turn them into zombies! The trail of the magic item's last owner leads to a gleaming cave of polished metal, which contains images of incredibly tall buildings, flying machines, and a war culminating in vast explosions all over the world!
These revelations can shock your players. They can make for a memorable game... or one in which the players don't appreciate the twist. Don't try it on them every time, and make sure you know your players well before you try this trick.
Anakin: You think I'm keeping secrets from you?
Padmé: You always keep secrets from me.
Anakin: Such as?
Padmé: Like in the game you ran. You didn't tell us we were doing the wrong thing!
Padmé: Sally and I had to try to cure Pete's monster bite. But you said his mind was affected and he bit Sally and she died!
R2-D2: Hey, I didn't like it any better than you.
Yoda: It's okay Pete, I know you weren't yourself.
Anakin: You ruined the whole premise of the campaign!
Padmé: We never knew the premise!
Anakin: Well whose fault is that?
R2-D2: Do you really want an answer to that?
Obi-Wan: Look, there's—
Anakin: Don't you start!
GM: Boy, it must be really rough to have your campaign completely derailed...