Why does Django choose to dress like that?

In addition to KeyBrdBasher's excellent out-of-universe answer I'd like to concentrate a bit more on Django's motivation, even if it's really just plain speculation on my part.

You have to consider that Django has been a slave for all his life, wearing nothing else than mere rags, if so much at all. It certainly makes sense for him to dress as extraordinarily as possible once he finally has the chance to. Seeing that his blue suit looks extremely fancy and is probably only worn to parties or by little rich boys, he has simply overdone it with his dress choice, maybe partly due to overcompensation and maybe partly due to a lack of knowledge what you would usually wear as an ordinary citizen (you could even connect both answers and assume Django has once seen that Gainsborough painting, dreaming to dress as fancily one time in the future).

Another factor might also be exactly this surprise that you mention in your question. Django maybe also wanted to show everybody that he was a free man, and this as expressively as possible. Thus it might also have been in order to shock all those slave owners with the unusual view of a black man in so fancy a suit.

Nice question! There's a very solid piece of trivia behind it that will perhaps make you appreciate Quentin Tarantino and his style even more. A Django trivia article on Badass Digest explains it like this:

When Django gets his first outfit it turns out to be quite similar to a Thomas Gainsborough painting, The Blue Boy. This 1770 painting was created when slavery was rampant in the Americas, but that isn't the connection to Django Unchained. The painting inspired FW Murnau's debut film, Knabe in Blau, a 1919 silent movie that is now lost. This means Quentin Tarantino never saw it, so the film itself couldn't have really impacted Django. But Murnau was one of the great pioneers of cinematic language, and one of his great breakthroughs was a technique that allowed filmmakers to move the cameras, which until then, has been largely stationary. That technique's name?

"Unchained camera technique."

IMO, its a very clever way to pay homage to a film-maker Tarantino felt inspired by. This scene seems like his hat tip to the person as well as the technique.

In addition to that, the connection with the Gainsborough painting becomes even more apparent in the scene where Django opposes John Brittle. There is blink-and-you-miss shot where the girl Brittle was about to whip looks into a framed mirror and sees a faint reflection of Django (interestingly very much devoid of any identifying skin parts) which seems to resemble the painting to a large degree.

P.S. Here is the link to the painting by Thomas Gainsborough.