Three Kinds of Mystery

Ok, there are three kinds of mystery in stories--

Classic 'What's Gonna Happen?' Mystery (diegetic mystery)

This is a mystery to both the audience and the main characters in the story: They are wondering how events will play out (or, in the case of a Sherlock-Holmes-style-mystery have played out). What will happen to Jack, Wendy, and Danny in the Overlook Hotel is a 'What's Gonna Happen?" Mystery, as is who framed Roger Rabbit? and who did the murder on the Orient Express and what will happen when we have these two couples swap wives. It's often the basic engine of the plot.

This happens in RPGs all the time.

WTF is Going On Mystery? (temporary narrative mystery)

This kind of mystery is created not in the story but by the way of telling a story. These are things that are not immediately known to the audience but are understood by the characters involved and we only learn them by following the story. Nearly every first line of a first-person novel involves this mystery (Who is narrating? What kind of person are they?) It was the best of times and it was the worst of times? For who? In the first scene of Pulp Fiction where we see Jules and Vincent talking in a car about the Royale With Cheese we don't know who these guys are. We don't know what they're about to do. We don't know where they're going or why. These are WTF is Going On mysteries. When Luke Skywalker first talks to his aunt and uncle about Ben Kenobi, we don't know who that is yet. These are temporary narrative mysteries--things kept secret by the writer until they want you--the audience--to find out.

One hallmark of good writing is very careful control of this kind of mystery. A lot of lackluster writers tell you where you are and who everyone is right away and so waste a lot of the potential of this kind of mystery.

This one is rare in RPG sessions, since the whole point is players need to know enough of their characters' POV to make decisions.

Eternal Mystery (mysterious-vibes mystery)

This is a mystery that never gets answered in the story. It can overlap with the other two, but also not. The point of this mystery is that it is never revealed and is part of the vibe. The lady or the tiger? What's in the Pulp Fiction brief case? Why is a guy in a bear suit giving some dude a blowjob in the Overlook Hotel? Why does Agent Cooper keep dreaming of a dwarf? These things just are. They make the situation seem mysterious but will not be revealed in the story.

This is a bread-and-butter device in pulp storytelling and so is all over RPGs. 

Some notes

• One thing sequels often do is take something conceived as an mysterious-vibes mystery and turn them into a temporary narrative mystery. In the original two seasons of Twin Peaks Agent Cooper keeps talking to a "Dian" on his tape recorder and that's just a thing he does. In the much later Season Three, we meet Dian--she's Laura Dern. Lovecraft stories are full of this--we hear a mysterious reference to the Pnakotic Manuscripts or Necronomicon in an early story and its just meant to be a mysterious name, but then in some later story (occasionally by another author) it is revealed what that thing is. The big alien "space jockey" in Alien had this done to it.
• One element of stories called "surreal" is the deliberate piling up of the second two kinds of mystery: we get a load of details and we don't know which are actually things that we need to pay attention to because they resolve and which are just weirdness. This tension is part of the excitement in these kinds of stories but if the proportions aren't right it can make someone check out because the mysteries begin to feel "hollow"--that is, there's no reason to wrestle with them.
• You can also pile the first type of mystery onto these two to make a Twin-Peaks-style mysterious mystery story mysteriously told, but unless you take care to highlight the first kind of mystery's importance (as Twin Peaks did by reiterating the question "Who Killed Laura Palmer?") the audience may not ever realize there is a plot to uncover.
• The massive part of the appeal of RPG campaigns is that everyone feels a great sense of the first kind of mystery as a campaign begins--unlike so many stories we don't who will live or die, how long the story will last, or often even what it will be about. We know more about a movie from its trailer or a book from its jacket than we do what will happen in a campaign with our characters--even if we know all about the characters at the start.

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