It really was a curveball. And the way it was presented really hit you. They have a big good-bye for him. After the commercial break you see everyone in the OR. Radar comes in without a mask and Trapper hollers at him that he needs to put a mask on. Hawkeye quips something like, "If it is my discharge give it to me straight, I can take it." Then a shocked Radar gives the news that Henry's plane was shot down and there were no survivors. Everyone stands in stunned silence and tries to get back to work.I was too young for that episode but I have heard people talk of how they were shocked at Henry Blake's death.
It was so unexpected from a show that while it had some serious undertones was still mainly a comedy. On top of that no half hour series up to that point had killed off a main character so no one really expected anything like that.
I have heard stories that the studio received hate mail for killing off Henry.