At Alex UMC we're doing our Lenten study on Lost Christianities - a video series that features lectures by Dr. Bart Ehrman. While I don't always agree with his interpretation of history, his work does allow us to look closely at what mystery is within the Christian context.
I found this quote to be a good representation of mystery.
In the Christian context, we do not mean by a "mystery" merely that which is baffling and mysterious, an enigma or insoluble problem. A mystery is, on the contrary, something that is revealed for our understanding, but which we never understand exhaustively because it leads into the depth or the darkness of God. The eyes are closed—but they are also opened.- Kallistos Ware, The Orthodox Way
It is somewhat mystical in nature, and I think that's the way we need to look at mystery.