Nintendo has always labeled Mew as the most mysterious Pokemon of all, but it never strikes me as mysterious anymore. The anime shows have released so much information about Mew already, and we know a lot about it. It was our ancestor, it dwells in the Tree of Beginnings, it contains all the DNA of every Pokemon, etc. What Pokemon really strikes me as mysterious is Darkrai. Well, we all know it induces deep sleep and nightmares that the victim can't awake himself from, nor can he be awakened from someone else. I mean, Darkrai does appear to have only good intentions in the Dialga / Palkia movie. But my only question is, why does Darkrai give out nightmares? The child in the motel in Canalave City was obviously an innocent victim that Darkrai only chose to terrify without a significant reason. He appears to be both the good guy and the bad guy.
Another Pokemon that definitely deserves to get a mention in this thread is the Unown. I mean, not many people know the true story behind the Unown. Even just the very concept of the Unown can be quite interesting and mysterious to think about. I mean, they are Pokemon based on the alphabet of the English language. Their concept is so diverse; they can paint pictures, make sentences and words, and a lot more things. And to think that there are so many of them, each representing one of the alphabet's letters. To me, that's what I find quite mysterious. Also, did Mew / Arceus create them too?