The writers have spent the entire second season giving Zuko every reason to turn away from his father. He has been banished; he is a fugitive from his own home; his sister has been hunting him just as he for so long hunted the Avatar. Meanwhile, Katara shows him the sort of genuine concern that no one, save for his uncle, has displayed toward him since his mother's disappearance. It even appears that Katara will use her healing abilities, along with the special properties of the spirit water, to heal the scar that has marked Zuko for as long as we've known him. The audience has every reason to believe that Zuko will join the Avatar's group, becoming his firebending teacher and helping him fulfill his destiny as the "master of all four elements."
So what does he do? He turns around and joins his sister, of course. The members of the audience - along with Katara and Iroh - are left shocked and horrified at his choice. Despite the shock value, this was also the more realistic choice; years of hardship would not be enough to make Zuko abandon his all-consuming goal of regaining his rightful place as crown prince. The drama is intensified with the constant signs of Zuko's improvement as a fighter and firebender; he is a far more formidable foe than the teenager we met at the beginning of the first season.
The shocks aren't over. During the battle against Azula and Zuko, Aang finally finds the strength of will necessary to enter the nearly all-powerful Avatar state - and is promptly shot in the back by Azula. As he falls, so does Ba Sing Se.
Even the most skeptical of viewers should be left reeling by this turn of events. If any episode in the series deserves a perfect 10, this is it.