The hobbits discover that the Shire has been taken over by Saruman and Wormtongue, along with some rough men acting as enforcers. The hobbits return to find the Shire oppressed and trembling with fear, some hobbits have even joined Saruman.
I describe this turn of events as shocking because Tolkien doesn't give us a cozy "happily ever after" ending after the defeat of Sauron. What we get is another mini-war. Heroism and moral exertion are still required. The hobbits are not allowed to rest on their laurels. The world remains troubled and dark in many ways.
Here, again, I think Tolkien is striking an eschatological note. As has been often said, Christians live "between the times," between the victory of Easter Sunday and the Second Coming. Consequently, Christian life is characterized by an "already, not yet" quality. God's kingdom has come in our midst, but not completely and fully. Our life is like the hobbits returning to the Shire. A great victory has been won, but there's still work to do. Even after Easter, life demands continued moral exertion.
In fact, I think that one way to contrast the "already, not yet" is as a contrast between the cosmological and the moral. On Easter, Christ defeated the cosmological powers that held us captive--Sin, death and the devil. And with that victory the cosmos, and our place within it, has been radically altered. We now live in hope. Like Sauron, the Great Tyrant has been defeated.
And yet, while the cosmological battle has been fought and won, there remains the moral battle, the subsequent "mini-war" that is more local and personal, work that strives to bring the world into alignment with our new cosmological reality. And in many ways, the cosmological victory makes this moral work possible. Without the cosmological victory, the Shadow would have washed everything away. No work of goodness would have stood a chance at leaving a mark upon the world. But now, in the wake of the Great Victory, our moral efforts can grow and thrive, like the planting of seeds, enabling the healing of the world. In a sense, the Great Victory doesn't end the show, it opens the curtain on the show, allowing the actors to take the stage. The drama of our lives didn't end on Easter, it started. The Great Victory carves out an arena of moral action where each of us are called to restore our bit of the ruined world, our own Shire, to happiness and wholeness.