It came ____ me as a great surprise.
1. It is possible that 'by' is a dialect usage, but I have not come across it before. However I can see its use semi- metaphorically, as of a rumour winging past, but I would not see 'by' as a normal usage.
2. I would prefer: "It came as a great surprise to me": and in that sentence order, 'by' is virtually impossible.
3. One could also use other prepositions such as 'upon' for alternative effects