One of the mysteries I have thought about many times from the exodus of the Israelites is in how God gave them a pillar of fire during the night, and a cloud of smoke during the day. Now it it not a mystery to me that God did this, because it is certainly in His ability - and there is really nothing about this that is hard to accept. The mystery is that with such an evidence of God, the children of Israel would still constantly complain, mourn, doubt, question, etc. How could one look on such a sight, and lack faith?
But in the New Testament, we are given the truth that when we come to Christ, the Holy Spirit indwells us. We are given an exponentially greater witness than the children of Israel - we have God living in us. Yet, how often do we complain, mourn, doubt, question? How often does our faith lack? It seems to me the greater mystery is found with us.