One way to be mysterious is to try to say as little as possible. This does not mean that someone who wants to be mysterious to others should be mute. This means that the person should only chime in when he has something that needs to be added to the conversation. Don't talk about the weather, but only say things that have weight and gravitas.
Failing to show up to places where others expect one to be is another way in which one can appear mysterious. Showing up late has the same effect, especially if one is not saying why it was one ended up being late. Being late to something doesn't mean the person who's late shows up acting goofy or apologizing for being late. A mysterious person puts on an air that he meant to be late and had a good reason for his lateness.
Keeping an emotional distance from people can make someone appear mysterious. The better someone is known, the less mysterious he appears. People are inherently interested in wanting to get to know people. If a person doesn't share a lot of details about his day-to-day life and doesn't ask many questions of others, it becomes quite hard to get to know him. People who want to be mysterious should be as unpredictable as possible without appearing odd or unstable.