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I've just started with Delta Green, which is based around investigation, so: having a dossier of the people involved and the scenario for them to investigate is a lot of fun and gives them something tangible to examine.

I'm not subtle, it's usually NPCs asking for help.

Our crew had to figure out what was going on and what factions were involved. Then decide what they were going to do. All while not tipping their hand that they were imposters and / or getting killed by various dangerous forces in play.

I'm very fond of the liminal/strange space and strange events strategies.

Unreal levels of awesomeness.

For paranormal mystery I like to use a voice only one player can hear or something only one player can see. I usually pick the player that never speaks up so the rest of the party will reach out to them for information.

For starting a mystery in a game, usually i like to make an event directly affect the characters. One character could receive a cryptic message, another could be accused of a serious crime, and so on.

I like starting with a hook that fits the characters - which works well if I'm writing them as pre-gens 😁

Depends on the kind of mystery! Very long term? Usually something odd here or there, and then something that gives those meaning and binds them in retrospect and begins the mystery-proper. A mystery plot? Give the hook right off the bat - NPC, letter, or scene served straight up. Waste no time.