Formal:
* Enigma
* Conundrum
* Riddle
* Puzzle
* Secret
* Intrigue
Informal:
* Whodunit
* Secret
* Clue
* Case
* Unsolved mystery
* The unknown
* The unexplainable
Literary:
* Mysterium
* Arcane
* Inscrutable
* Abstruse
The best synonym will depend on the specific situation. For example, "enigma" might be a good synonym for a mysterious person, while "whodunit" might be a good synonym for a crime mystery.