I think that a perfect mystery setting would be a dark night with thick fog. As you walk, you can feel the silence of your lonesome footsteps. You hear a howl in the distance. The fog begins to set and you cannot see but a foot in front of you. As you increase the speed of your steps, you feel someone, something watching you. The sound of the gravel crunching under you is all you can hear as you walk through the darkness. (Scene)
I think that this makes a perfect mysterious setting right before something bad happens.