You are correct that the observation you mention is not surprising, but you have not mentioned the observation that lies at the heart of entanglement. Entanglement is interesting and surprising because it is owing to entanglement that further experiments can be done, in addition to the one you mention, and it is these further experiments that exhibit the surprising features. The further experiments can be, for example, measurements of pairs of spin-half particles, but with measurements along various different directions (e.g. 0, 120, 240 degrees to the $z$ axis if they are moving along the $x$ axis), or measurements on pairs of spin-1 particles, or measurements on triples of spin-half particles. Various scenarios break the Bell inequalities, and this means the measurement outcomes are inconsistent with a description in which each particle carries its properties with it in a local way.
In this answer I am not going to repeat the Bell arguments; you can look them up if you like (e.g. try CHSH inequality). I will simply present a nice argument involving symmetry which you may find interesting.
Suppose I have a single spin in the state $| \uparrow \rangle$. Then if I rotate it through 180 degrees then it will go to the state $| \downarrow \rangle$. One can do this in the lab and measure the outcome and thus confirm that the state does change in exactly this way. So far so good.
Now prepare two spins $A$ and $B$ in the state
$$
|E\rangle \equiv \frac{1}{\sqrt{2}}( | \uparrow_A\uparrow_B \rangle + | \downarrow_A \downarrow_B \rangle )
$$
This is an entangled state. Rotate the first spin: you then get
$$
|R\rangle = \frac{1}{\sqrt{2}}( | \downarrow_A \uparrow_B \rangle + | \uparrow_A \downarrow_B \rangle ).
$$
This is a different state, indeed it is orthogonal to the first, so the rotation certainly changed the system and one can perform measurements to confirm that it did change. Still no surprise. But see what comes next.
Now suppose you want to return the system to its initial state. You have a choice. You could rotate spin $A$ back again, undoing the change. OR you could instead approach spin $B$ and rotate that one. Then you would get
$$
\frac{1}{\sqrt{2}}( | \downarrow_A \downarrow_B \rangle + | \uparrow_A \uparrow_B \rangle ) = | E \rangle .
$$
Thus this rotation returns the system to its original state.
Now think very carefully about what just happened. Those two spins could be in different places, say one in Athens and one in Bermuda. But to take the system from state $R$ to state $E$ you can rotate either the Athens spin or the Bermuda spin. These two operations, taking place on either side of the Atlantic Ocean, carry the joint system between the same two places ($R$ and $E$) in its state space. Try to imagine a classical scenario where this would happen---you will not be able to. Notice especially the sequence where first an operation is applied in Athens---an operation which certainly changes the system state---and then an operation in applied in Bermuda, and the overall outcome is no net change to the joint system.
I hope you are beginning to see how amazing entanglement is.
Its amazingness will soon be put to practical use in quantum computing. It also has deep philosophical implications, because it shows that the natural world is not completely decomposable into separate bits and pieces.
Added material to respond to comments.
Several people asked for further elucidation on why this is surprising, i.e. different from classical physics, and why it would not form a means of communication.
To emphasize what is going on, compare it to flipping something ordinary such as a chair. If I flip over a chair in the kitchen, say in order to clean the floor or something, then it would be very odd to then argue that by flipping some other chair, say one in an upstairs bedroom, I could return the pair of chairs to their starting state! (The word 'flip' here is being used in an operational sense: it means "apply a rotation through 180 degrees"; and note that the joint system does change state when this rotation is applied to either subsystem on its own---it is not like rotating perfectly symmetric spheres or something like that).
No communication is possible merely on the basis of this property, because in order to determine which of the possible states one has ($E$ or $R$ in my notation) it is necessary to bring together information from the two sites ($A$ and $B$) and this pooling of the gathered information can only happen at a light-speed-limited rate.
It is not true to say that the effect of an operation at $A$ is immediately observable at $B$ (or vice versa). Rather, the effects of operations at the two locations can eventually be determined by someone in the future light cone of both.