Without getting into the too obscure I wanted to make a list of things I found particularly interesting. Some of which you will encounter everyday. Please add some of your own favorite unexplained things.
  1. Bicycles
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    We don't get it. We thought we did and made a list of the things that make a bike work and then someone made a bike without those things and it still worked so....
  2. Hessdalen Lights
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    Just these lights that appear in Norway on a regular basis and then fly away. No one knows why. So....
  3. Sleep and dreams
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    Pretty basic, but we don't know. Shouldn't you just be able to go on eating and drinking and getting energy from that? Nope. If you don't lay down and close you eyes every time it gets dark outside you go insane. And what are these dreams? We don't know so.....
  4. Eye of the Sahara
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    It was hypothesized to be a natural structure at first, but these massive circles surrounding circles in the middle of the Sahara are more than that. Some people think it might even be the remains of Atlantis
  5. Bumblebee Flight
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    Scientists recently made a jump closer on this one and figured out that the bees were flapping irregularly and faster than most, but our understanding of insect muscles don't really allow that amount of power.
  6. Chrysalis Transformation
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    Science still doesn't fully understand how caterpillars morph into butterflies in their chrysalises ( http://www.radiolab.org/story/goo-and-you/)
    Suggested by @ladyprofessor
  7. Consciousnesses
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    Why are we able to make images in our mind? No one knows.