General confusion:
* Bewildered
* Confused
* Perplexed
* Baffled
* Disoriented
Uncertainty and doubt:
* Questioning
* Unsure
* Doubtful
* Hesitant
Intrigued by a mystery:
* Intrigued
* Curious
* Mystified
* Puzzled
Feeling lost or overwhelmed:
* Lost
* Overwhelmed
* Discombobulated
* At a loss
The best synonym for "puzzled" will depend on the specific context and the emotion you want to express.