Matthew Stover's excellent Revenge of the Sith novelization came out together with the movie, and, although it's technically not canon anymore, it provides some insight into what the Jedi thought.
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Order 66 Failed: How a Single Jedi's Survival Undermined the Empire's Bloodiest AmbushOrder 66, otherwise known as the Great Jedi Purge ... fellow Order 66 survivor, Brand, did, she arguably plays an even greater role in the Jedi’s vengeance against the Sith.
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