I've read many times about an experiment: take a 2-particle system and measure that it has a spin of 0. This tells us that the particles have opposite spin. Now, take the particles far away from each other and measure one. If you measure spin up, for example, you now know the other particle has spin down.
Why would anybody be surprised by this?
Let's imagine a similar classical experiment that uses literal spin. Take a system of two gyroscopes, each spinning at the same fixed speed, each in it's own sealed box. They can be powered or whatever so they stay spinning for the duration. Stack the two boxes ("entangling" their spin), and measure 0 spin to confirm that the gyroscopes are in fact spinning in opposite directions (some helicopters use this principle for stabilization on the y-axis instead of a tail propeller). Now, send the boxes far apart and measure one of them using the right hand rule. If it turns out to have spin up, the other will intuitively turn out to have spin down. But nobody will be surprised by this because we knew from the beginning that the pair was spinning in opposite directions; we just didn't know which was which before measuring one of them.
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Update: 2020Apr24
Thanks for all the comments, explanations, and links! I'm not ignoring them, just trying to find time between work and family responsibilities to digest and understand them before I ask my follow-up questions. I appreciate your patience!
The fact is surprising when coupled with the fact that particles do not have a definite spin direction before you measure it. The anti-correlation is maintained non-locally, but the directions are decided by the experiment.
A better example is: take two spheres, send them far away, then make one sphere spin in any orientation that you want. How much would you be surprised to learn that the other sphere spins with the same axis in the opposite directions?
This is the correct answer to the question. Bell and CHSH and all are remarkable but more complicated setups. This - entanglement no matter which basis you'll end up measuring your particle in, not known at the time of state preparation, - is what's salient about the simple 2-particle setup.