The Lost Colony of Roanoke
In the early days of the European colonization of the Americas, it was not uncommon for people to go missing in the wilderness. But whole colonies? That was a big deal, and it happened at Roanoke Island, North Carolina in August 1590. The colony was established in 1587 by 115 English settlers, led by governor John White. White departed for England for more supplies a few months after his arrival, leaving his wife, daughter, and infant grand-daughter Virginia Dare (the first English child born in the Americas).
White was prevented from returning for 3 years by political turmoil in Europe, but when he finally did come back, nobody was home. The entire colony had vanished, leaving only the word "Croatoan" etched into a tree. No bodies, no instructions, nothing but a word. There are many theories about what happened at Roanoke, the most popular being that the settlers were overwhelmed by the harsh realities of American life, appealed to the Native tribes for help, and shacked up with them on Croatoan Island. But there's still no real consensus about what happened from 1587-90 in that fledgling settlement, making it one of the spookiest unsolved mysteries in American history.