In reading Tennyson's The Lady of Shalott, there are several elements of the plot that create a sense of mystery.
Influenced by the Romantic Movement (which often addressed the supernatural—as seen in Coleridge's The Rime of the Ancient Mariner), there is also attention paid to nature.
In the following lines, which use personification, nature seems fearful ("shiver," "quiver"), lending itself to a sense of mystery—because for what reason would nature be frightened?
Willows whiten, aspens shiver.
The sunbeam showers break and quiver... (10-11)
The reader has no idea who the Lady of Shalott is, where she has come from or how she has come to this place so near to Camelot: it is a mystery.
Another detail that offers a sense of mystery or apprehension is found in this next segment:
Beneath the moon, the reaper weary
Listening whispers, "'Tis the fairy,
Lady of Shalott." (33-36)
For many, many years, audiences believed in the supernatural. During Shakespeare's time, his plays were great favorites in that they often included witches, ghost, fairies, etc. Sometimes they could be playful (as in Shakespeare's A Midsummer Night's Dream), but other times there was grave concern by the characters of the play (and the audience) that a Ghost might be evil (Hamlet)—as were witches (Macbeth)—charged by the devil to win unsuspecting and/or weak folks to their eternal damnation. (This was also a common theme in American literature, as seen in Hawthorne's Young Goodman Brown.) While Tennyson is writing during the Victorian era, we can assume that the influences of literature on society would not have completely eliminated the idea of "other-worldly" things. The introduction of a supernatural element would have heightened the reader's sense of mystery. Here, the Lady of Shalott is "whispered" to be a fairy.
It is at this point in the poem that we learn that the Lady of Shalott is cursed, though even she does not know why. She is unable to stop weaving "her charmed web" for fear of the curse. That she must weave "alway" indicates that the curse is relentless—something from which she cannot turn. It consumes every moment of her existence.
No time hath she to sport and play:
A charmed web she weaves alway.
A curse is on her, if she stay
Her weaving, either night or day,
To look down to Camelot.
She knows not what the curse may be;
Therefore she weaveth steadily,
Therefore no other care hath she,
The Lady of Shalott. (37-45)
The Lady of Shalott cannot turn away from her work because of the curse, so she views the world of Camelot through a mirror, and what she sees she delights in weaving into her tapestry.
The last four lines of the poem also further a sense of mystery. The Lady of Shalott has left the loom, climbed into a boat, floated down the river while chanting and singing her last song, and has died. When the townsfolk behold her, they cross themselves as if to ward off evil. We learn from a parchment on her chest that the curse has been broken, but this is mysterious as well. We may assume that her death has broken the curse.
"The web was woven curiously,
The charm is broken utterly,
Draw near and fear not,—this is I,
The Lady of Shalott." (168-171)
The web has been "woven curiously," but the reader is given no clear information as to what this means, only that "the charm is broken utterly" and it is no longer cause for fear.
[The ending varies, depending upon the version one reads.]