Nothing jogs the imagination like an unsolved mystery, and the internet provides as many as it solves.
Here's a link to a collection by the Washington Post: http://www.washingtonpost.com/blogs/style-blog/wp/2014/05/02/five-of-the-internets-eeriest-unsolved-mysteries/.
And, as it's been getting a lot of press, more on the Cicada 3301: http://en.wikipedia.org/wiki/Cicada_3301.