Make players wonder.

Make players ask questions.

Hint at rather than describe the game world.

No disappointing answers.

Wonder and mystery is more interesting than disappointing answers.

Let the audience fill in the gaps.

Don’t answer everything. Be abstract.

Storytellers: “Show, don’t tell”.

Games: “Don’t even show”.

> "A cool thing that can be missed makes the world feel more like a real place and less like a clockwork puzzle constructed purely for the benefit of the player."

Not everyone has to see everything. “Exclusion is a strength”.

Create “pockets of communities” that feel like they’re in the know with others when the find things out.

> "This continuous breaking of experience, through the ‘false ceiling’ Jim Crawford (Frog Factions) cites as a necessity for mystery, in the age of video game walk-throughs and the culture of ‘looking it up’ online." - Phil James

This provides an emotional spike, perceived as the “peak” of experience, then throttle it into overdrive.

Have an advocate – the "First follower".

Encourage community involvement – people sharing stories. Puzzles too hard to solve on your own, require collective knowledge.

> “The Minecraft Far Lands" were the area that formed the “edge” of the “infinite” map in versions prior to Beta 1.8. When players made it to the Far Lands, they would experience an excessive drop in framerate and the terrain would be severely distorted… From here on, lighting does not work... attempting to walk onto them would cause the player to die in The Void.

Definitely play Frog Fractions if you haven’t. Don't look up trailers or reviews just trust me. Give it 15 minutes, you'll know when it happens.

Edit (2016-12)

If this and/or Frog Fractions interests you play Glittermitten Grove.

Same deal: no trailers, no reviews: discovery~.

Edit (2017-02)

Crowdfunded video game documentary producer Noclip released Rediscovering Mystery - Noclip Documentary (feat. Jonathan Blow / Derek Yu / Jim Crawford). It's worth watching.

> "In this special feature about video game mysteries, we talk to Jonathan Blow (The Witness / Braid), Derek Yu (Spelunky) and Jim Crawford (Frog Fractions) about the games that inspired wonder in us as children, and the fight to keep player discovery alive."