Select the INCORRECTLY spelt word.

The correct answer is Programe.

Explanation:
Let's review the spelling and meaning of each word provided in the options:

1. Programe: This is incorrectly spelt. The correct spelling is Programme (British English) or Program (American English).
2. Unexpected: This is correctly spelt, meaning not expected or surprising.
3. Pilgrimage: This is correctly spelt, referring to a journey made to a sacred or religious place.
4. Campaign: This is correctly spelt, referring to an organized course of action to achieve a specific goal.

Therefore, the word with the incorrect spelling is Programe.