Interesting list from the LiveScience website indicating their Top Ten Historical Mysteries. EDIT: "Overlooked Mysteries"
10. Rongorongo - the undecyphered written language of the inhabitants of Easter Island, of which I was unaware. Not sure I'd put this in the top 10 however as opposed to the freaking huge statues all over the island.
9. Helike - just might be the basis for the Atlantis myth, the recently discovered Greek city of Helike was destroyed by an earthquake and submerged by an upwelling of groundwaters. Definitely a keeper.
8. Bog Bodies - iron age corpses found in swamps throughout northern Europe suggest ritual killings may have taken place. Not sure I'd include this one either, pretty minor occurance - unless you happened to be one of the lucky few.
7. Fall of the Minoans - Not sure what the mystery is here, the volcanic eruption of Thera sent a tsunami through the Mediterranean basin that makes the Indian Ocean event look like ripples in the bathtub and volcanic ash probably caused weather disruption for years. There is pretty compelling evidence of widespread political upheaval throughout the region and a 500 year "Dark Age" after the eruption.
6. Carnac Stones - I'd heard of the megalithic stones in Brittany but had no idea how widespread they were - 3000 of them laid out in a 8 mile wide pattern. I'd say this probably qualifies.
5. Who was Robin Hood? Another pretty minor mystery, one which has probably been best explained by attributing the stories to a group of different men rather than a single individual.
4. The Lost Roman Legion - this one is a little more interesting, I'd not heard this one before either. Apparent survivors from the disasterous campaign against the Parthians not only surviving but fleeing all the way to China? Hard to believe, but there does appear to be some anecdotal evidence in Chinese records.
3. The Voynich Manuscript - another one I wasn't aware of could be a hoax but there seems to be some analytical basis for thinking it is really a language. Apparently written in the 17th century, no one has been able to decypher it yet.
2. The Tarim mummies - this one is also an intriguing, with an apparently European group (DNA tsting confirmed) settling in the far western regions of China over 2000 years ago.
1. Disappearance of the Harappan civilization - this might be one of the most enduring and best historical mysteries, with a highly advanced culture dating to 3000 BC simply vanishing from the Indus river valley with almost no trace left behind in the historical record.
Late Edit: I guess it is actually the Top Ten "Most Overlooked" Mysteries, which a damn weird idea to begin with, but changes the scenario a bit. I'd still add the recently discovered Central Asian cultures (mentioned in some previous posts) dating back to the same dates as the Harappan, Mesopotamian and Egyptian period, and there has been a notable mystery regarding the Inca and what might have been the beginnings of a record keeping system using woven materials and a system of knot tying that I think is interesting. The idea of some of these being "overlooked" (particularly the Minoan one with its implications for the Atlantis myth, as well as the Harappan mystery) is a bit of a stretch.