Hello! I'm currently planning out my first even Mystery fic, and have been visiting verious websites with different tips on how to pull a Mystery up. Here's one DA's member's tips:

One of the most common and most annoying things that I come across, when editing manuscripts, is when there is a vague mention of the protagonist's back-story or mission. I ask the writer why they don't clarify, and they tell me that they wanted to leave a mystery for the audience. This is not mystery, that is leaving the audience in the dark. Today, I want to talk about the difference between this cheap ploy, and creating genuine mystery in your story. But before we begin, let me share the first rule of creating mystery:

The first rule of mystery is that your audience should be able to see everything and have access to ALL of the same information as your POV (point-of-view) character. (AKA the Scooby-Doo Principal)

Method 1: Show mystery by revealing everything, not by concealing it.

The first way that mystery is created is by allowing the POV character to see something that does not fit into the world—something abnormal. You don't have to draw a great deal of attention to the abnormality, but neither should you try to obscure it.

Method 2: Leave clues.

Later in the editing process, more anomalies can be planted in the story—creating a bank of clues. But always be sure that the clues you, as a writer, leave are honest—otherwise, your readers will feel cheated. Of course, there will always be clues that do not make sense immediately, but the writer should never intentionally plant them just to throw off their readers.

Method 3: Figure out for yourself the answers to the mystery.

It is said that the reader will figure out the answer to a good mystery as soon as the writer does. Therefore, it may be in your best interest to make writing your story a process of discovery in which you don't immediately have all the answers. Then, once you reach the end of your first draft and have solved the mystery, go back and add or remove whatever clues you determine will make the process of discovery most fun and most fair for your reader.

Method 4: Don't give your POV character the answers.

If it is a rule that the audience must know all that our POV character does, then another answer to creating mystery is simple—don't give the POV character the answers. If you're writing a fantasy book and want to leave the reason for why the forest is haunted a mystery, then don't let the character know why the forest is haunted, and make him go and figure it out for himself.

Method 5: Create mystery through the antagonist.

It is possible that your antagonist may desire throw your POV character off of his or her trail. In this case, the antagonist may manipulate the readers by manipulating the POV characters and the clues that the he or she finds. Just remember that your POV character and the reader must eventually discover these fake clues—becoming clues in and of themselves.

Method 6: Show, don't tell.

Mystery does not have to be a who-dunnit sort of murder plot. Every story can have mystery, and it is merely a matter of letting the hero and the audience solve the many puzzles. We do this by showing what is happening in a story, instead of choosing to use cheap exposition. If the hero says, “bears are my favorite animal,” and then the side-kick shifts his gaze downwards and frowns, you have created mystery. Imagine how much more fun and potent this is than just telling the audience that Barney made a sad face because he was remembering that his puppy had been eaten by a bear.

Source.

This is actually very helpful, since subtlety isn't exactly my strong point in writing. Great guide!

The nerd in me wants to point out Knox's Decalogue of Mystery Rules now that we mention this. It's not fail-proof at all, but always a blast to read.