Physical humor can always shock and please audiences, but you must know what kind is most shocking. The works of Charlie Chaplin and the Marx brothers are perfect references for genius physical comedy. You could set up a scene much like one of theirs, using music and wordless acting. Create a simple scenario, such as a bellhop trying to make a bed. The bed is perhaps too large for the sheets, so the bellhop stretches the cloth until it rips. He tries to fluff the pillows and they burst open and feathers fly everywhere. He destroys the room. Then a newlywed couple enters the room to find it a mess. Their shocked reactions are the payoff for this skit. Experiment with scenes like this.
Horror skits are some of the most shocking. You can shut off all lights in your theater and begin to tell a story. Place actors in the audience, and once the story has reached a climax, have your actors jump out at audience members, shocking them. You could also set the scene with one character playing a serial killer. He has set up a date with a girl on an online dating site. He shows up at her door and offers her flowers and they go on their date. This skit creates suspense and the possibility for a shocking ending.
Cast your actors to play various political figures from history and set them at a dinner party. Cast characters like Hitler, Stalin, Sarah Palin, George W. Bush, Lincoln and Kennedy. Have your actors study each figure and improv a scene to develop the skit. Once each actor can properly embody their character, the skit will come to life. This type of skit is shocking because of the audience's familiarity with these figures. Seeing them interact is intriguing and surprising.
Religious skits can be shocking, but make sure your skit won't offend your audience. Like Monty Python, you can create skits set during the time of Jesus Christ. Your skit could be about what "really happened" when Mary and Joseph were turned away from the inn. Perhaps, a celebrity like Michael Jackson was in town and he rented out all of the rooms for himself. The interaction of Mary and Joseph with the owner of the inn and with Michael Jackson is surprising, and adding a contemporary character is even more shocking. Mix ancient religious figures with modern characters and watch your audience gasp and laugh.
Watch an old movie, like "Casablanca," and rewrite a scene. You could perform "lost footage" scenes from movies as well. Present your skit as if it were the alternate ending for a classic film, such as "The Philadelphia Story" or "Gone With the Wind." Perhaps, after Rhett Butler leaves, he forgets his wallet and has to come back to Scarlett. He looks into his wallet and sees he's missing some money, then accuses Scarlett of taking the money. They get into a fist fight and roll around on stage. You could also add some ridiculous attributes to classic characters, like in the "Saturday Night Live" skit about Grace Kelly having extreme flatulence. Use your imagination and recreate shocking scenes from films you love.