The insolvable mystery: Consciousness as a mystery inside the class of the so far intractable mysteries of "why is there some thing or intrinsic property instead of nothing".
David Chalmers has written in his book that consciousness is the "last mystery", however this is not entirely fair for all the other mysteries lying around. We have no idea what matter "is" - we do not know how it came into being, what produce it, if it will suddenly disappear. Perhaps all we see is just a simulation in a computer, like the in The Matrix movie. In any case we do not know what matter is. The same happens with causality, or the forces of nature that bind matter together. What do we know?
Wittgenstein famously said in his Tractatus Logico-Philosophicus that an object is the sum of its relations. Perhaps it wwould more accurate to say that the only thing we can know about objects is the relations they establish with other objects. We can study that because objects relate themselves with us, it is only through these relations that we can achieve theories regarding why objects do the things they do. These theories, which are basically predictions and explanations of interactions between objects, or their behavior, do not tell us what the objects are in themselves but only how they behave. So when Chalmers asks "what is consciousness" and says this is a mystery because we have no clue of what a conceivable solution would look like, well, he is right, but when we says it is the ultimate mystery, well, he seems to be exaggerating. There is a very clear parallel if we think about the difference between understanding how matter behaves and understanding what matter is. This is the same difference between understanding the mind (a collection of cognitive processes and abilities) and consciousness (the "what it feels like" experience). One of them is just a puzzle, you may hope to solve it with diligent observation, the making of hypothesis, and careful testing. But the other is simply a mystery.
The reason some of our questions end up being so mysterious is because we are not trying to find a relation between this and that. When we do the question is just how does this thing here affect that thing there. These seem to be the only questions that we can provide answers for - behavioral problems and mechanical answers.
This does not mean that the other questions like "what is consciousness, what is matter, what is existence, etc", are less interesting, important or even crucial to our life. It simply means that consciousness is not a special case, the mystery of consciousness is not, in this respect, bigger or more interesting than any other such mystery. This is the mystery of the questions that address more than relations between objects.