Haven't see the episode, but read Oberyn's entry on A Song of Fire and Ice Wikia and saw the death scene on YouTube. I can see how shocking it must've been for viewers. Even in the 360p quality, it was disturbing. In some ways, Oberyn was such a decent, likable person that you just KNEW he was going to die. The pride before (literal) downfall makes him such as a classically tragic hero.
It’s an upsetting end to his short run on the show, to be sure; it’s sort of amazing for George R.R. Martin to create a character and then almost immediately kill him. But, of course, that’s precisely what happens. I think Prince Oberyn exists for fewer than 300 pages of just one book of the sprawling series.
The most interesting thing for me about Oberyn is that his desire for justice makes him immediately someone with whom the audience is going to feel a sense of kinship. When we are wronged, we presume that justice means righting that wrong; in a just world, the people who take something from us will be punished. But that’s also precisely why, in the world of “Game of Thrones,” he’s destined to lose spectacularly. The kind of justice that Oberyn demands is precisely the kind of justice that always eludes the characters in Martin’s world and anyone who pins their hopes on attaining an outcome where bad actions are punished and good actions are rewarded is continually frustrated in their endeavors.
By focusing so narrowly on attaining justice for his murdered sister, niece, and nephew, Oberyn is doomed from the moment we meet him. It’s just George R.R. Martin’s sense of twisted poetic justice that it’s the Mountain, the very man from whom he feels he is owed justice, who kills him in front of the appreciative eyes of the Lannisters, for whom the Mountain does all of his killing.