I'm pretty sure this was the kind of thing that was not expected. Some ex-Wyoming congressman who was then serving as CEO of Halliburton? Not the first thing that woudl come to my mind.
He was SecDef in the first Bush administration, and, very shortly after the '92 election, there was some buzz that he might run for president in '96, so the idea that he might have national ambitions was out there. Really, the only reason why it was a surprise was because Cheney was leading the VP search team himself.