If you want to create some mystery, right out of the gate, then have something missing that really ought to be there. Look at how horror writer Patricia Windsor manages that in The Blooding:
They were found in the woods, curiously and awkwardly lying in the first leaves of autumn. The girl had fallen on top of the man’s back; her chin rested on his shoulder. The man’s head was twisted slightly, as if he had tried to say some final word to her before he died.
The man had been shot between the eyes, the girl over her right ear….
Both were completely nude and without shoes. There were no clothes in the near vicinity; yet neither were there any signs of a struggle to suggest they had been forcibly disrobed…
A very strange situation, wouldn’t you agree? Killers don’t usually steal their victims’ clothes–they could be used as evidence to tie them to the killing. It’s a weird twist, something you don’t usually see. The clothes should be there, or at least, nearby. What happened to the clothes???
Think of a setting that people know well. Now, in your description of that place, work in a detail of something everyone would expect to see there that is now missing.
Coming tomorrow: a bit of hyperbole to add drama in your horror fiction!