The historical mystery I have the most interest in is this: what is in the Voynich Manuscript?
For those of you not familiar with the Voynich Manuscript:http://en.wikipedia.org/wiki/Voynich_manuscript
It is a manuscript, of which 240 pages remain, written in an unknown script and an unknown language, filled with illustrations that make no obvious sense, which has resisted all attempts at translation, but which is also proven to be written in some natural language. We have no idea who wrote it, but we factually know it's at least 400 years old.
Many hypotheses have been proposed. Is it an attempt from a scholar to fool another scholar with an uncrackable code? An attempt to hide scientific truths from religious authorities? A tool of deception by a quack doctor? A hypothesis was made that it was a mixed European-Chinese script used to teach occidental languages to Chinese people.
No one knows the truth, at least not yet.