Lady Gaga gave fans a shock on Thursday in Los Angeles ... when the superstar gave an unexpected performance for the one-night showing of her concert film "Mayhem Requiem." Social media was flooded with videos of Gaga dressed in a flowing red-and-black Victorian gown, making her way around The Grove ... heading out of the Apple Store and over to a nearby AMC Theatres location, backed by a New Orleans-esque marching band playing her "Mayhem" hits as 40 goth performers writhed and crept along.