I think everyone loves a good mystery, especially in their RPGs.
Building a true sense of mystery though requires work and the subtle use of clues, hints, rumors, and innuendos. I have found, more times than not, the best way to it is to involve the players right away.
Not in the way of getting them all to pitch in in some shared Game Mastering role. That certainly works for some games, but not all. No by this I mean take their speculations and let them run away with them.
Here are some examples.
In my Come Endless Darkness 5e campaign, I am spreading te greater mystery over three different campaigns. No one set of characters or players has the full picture. At least not until I get them (or what's left of them) in a room once they reach 18th level or so. The mystery right now is so vague as to not even be there. Yet. Some of the players in the Order of the Platinum Dragon game are beginning to suspect. Maybe some of the characters in the Second Campaign are as well. But I know no one in the Into the Nentir Vale suspect the larger mystery.
Of course, each campaign has its own mysteries.
For the Order of the Platinum Dragon, it has been "what has happened to the Sun?" and then "who killed all the Sun Gods?" And now it is, or soon will be, "there is no way Lolth could do this on her own!"
For the Second Campaign, the mystery has been "why are all these 'gods' of the lizard and scally folk rising up?" A little less tangible, but it is getting them there.
And finally in Into the Nentir Vale it has been simply, "We know Orcus is rising as a power, but why?"
Clues in each one will add to the other. Overly complicated? Maybe. Fun? Definitely.
In fact, this is where my players came into it. Originally I saw the Second Campaign's big mover and shaker to be the Mind Flayers. THEY were going to be the ones behind the scenes. BUT as the game went on and it became more distinct from the Order of the Platinum Dragon game and more and more lizardfolk, nagas and Yuan-ti showed up the players began to weave this huge conspiracy theory around them. IT was so compelling and, really, so out there, that I had to reward them by altering my own plans to fit more of their elements.
I am NOT giving them everything, but I am giving them enough that their own enthusiasm is sending down a trail. The ending will remain the same, the mystery still comes to the same conclusion, but now we go about it on a different path.
Other little tidbits that keep coming up. On our "crazy board" above we still have listed "Where is Cynder". Cynder was an elven elemental fire wizard that just stopped going with the group. We totally forgot about her, well at least I did. Even though she was only one session of the Order of the Platinum Dragon, she will show up later in Into the Nentir Vale and maybe the Second Campaign.
There is something to her, I just don't know what yet!
Another hook I was going to use was the Ranger Elmo from T1. He was going to show up in the Abyss when the Order got there (at Gen Con), but the players never really engaged with the guy. HOWEVER they did engage a lot with this random elf woman that had been following them since the A Series. They again decided she had to be important even if originally each of those encounters were with different elves. My players decided she was the same person each time and figured she knew something. A few quick jots in my notebook and Evelyn, the Princess Escalla was born! She was an Elven Ranger/Enchanter and was key to the Elven resistance movement in the Underdark.
It has been a glorious set of mysteries and neither the characters nor the players have figured out the ultimate mystery. That Tharizdûn, through Asmodeus, is manipulating the demons to get what he wants; his resurrection and freedom from his cage.
It's going to be great.
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