Nothing too see, no one to find. It's pitch black and I'm crying for help on an isolated cliff with only mistress death to accompany me.
I would think the best setting would be somewhere very isolated and quite eerie. There would have to be many mysterious, shadowy characters to accompany the idea of the place. Many twisted trees and dark, creepy creatures hunting in the night. A murder would have to take place given the nature of the setting. So the best mystery story would have to take place somewhere creepy or dark.