Hi. It means both. In fact "I didn't expect this." and "It's a surprise for me." have more or less the same meaning.
"There's a surprise." can also be said in a sarcastic tone, to express that really you are not the least bit surprised by something. For example, if a boxer has won all 46 of his fights and subsequently wins his 47th fight, you may say upon learning of this latest victory "There's a surprise." in a sarcastic tone.