In fictional media, we are guided through the story by a character or series of characters. Sometimes there is a narrator who is speaking directly to us, other times we are peeking at the story by following the character. Any character is going to have his/her own history, perspective, goals and hang-ups that color their perception of the situation. The job of the author is to - within this framework - share enough information with us so that we can understand the character's slants so that we are in many cases given access to a broader picture than any one character has.
However, as has been pointed out, every story is a mystery in the sense that you the reader or viewer do not know how it is going to turn out. And so, often crucial (or even not so crucial) pieces of information are withheld from the audience to be revealed later. Sometimes this is done to draw out the plot, other times it is because we need to get the information in a place where it makes sense for the character to start thinking or talking about it.
The audience needs to trust certain things about their guide or guides into the story. But sometimes, the guide keeps even the audience in the dark. Wikipedia has this to say about the unreliable narrator:
"a literary device in which the credibility of the narrator, either first-person or third-person, is seriously compromised. This unreliability can be due to psychological instability or other disability, a powerful bias, a lack of knowledge, or even a deliberate attempt to deceive the reader/audience."
The caution with using an unreliable narrator is that you can lose the trust of your audience if they suddenly discover they have been led down the garden path. The flip side, is that, when done well, the audience will realize that there were breadcrumbs they didn't quite see, and that this new information makes everything clearer.
"Rashoman" (which I have not seen, although I have seen movies and television shows that borrowed on the concept) is often cited as an example. The same story is related several times from the point of view of each character. There are differences and similarities in each of their narratives, so the question is left to the audience to piece together what they think really happened.
I recently read two books that made use of this - to varying degrees and with varying success (in my opinion).
I recently read Oyster Blues by Michael McClelland. I had previously read Tattoo Blues which I enjoyed. I liked Oyster Blues too. But I had a problem with the use of the missing link - as it were - it felt a bit cheap to me. (Let me stress here, this is a small part of the plot, I am nitpicking, the rest was good, go read it.) I read Oyster Blues in multiple sittings which may have affected by feeling of disjointedness. We are introduced to one of the cast of characters - Jane Ellen Ashley and learn a little about her and her job. Later we discover she shared her shack - with a Nate. Further along we get a flashback - we learn that Nate drinks. Then we get a hint he might have hit Jane Ellen once or twice.
(Which brings me to another issue, Jane Ellen, we are led to believe, is unworldly, having grown up in a little island in Florida spending much of her time reading. And yet, when she goes to a free clinic and the doctor asks her if her injury was boyfriend-inflicted she is shocked. She even asks the nurse why the doctor would ask that. And yet - several of the many books or magazines should have talked about domestic abuse. Also we later learn she spent some time in a youth home - and I'm not suggesting the leaders there would have abused the kids, but certainly some of the kids would have been there as a result of abuse. And then, it turns out she was getting hit herself. So how is this a shocking concept to her?)
Yet it's not until past the two-thirds mark, after we have met Nate, that we find Nate is her brother. I assume this was withheld to create extra tension when he catches up to her with her new boyfriend - but its silly. Certainly I don't sit around and make sure to think, "Gosh my brother Nate is such a pain". But there were many places this information could have naturally been provided, so it ends up feeling really silly that we didn't get it until then.
In contrast was Tryptych by Karin Slaughter. This is one of those books that took me a bit to get going, but then it was so good I almost don't want to talk about it for fear of ruining anything for anyone. Tryptych is centered on a series of brutal rapes, that have now escalated to murder. We start Tryptych with homicide detective Michael Ormewood, who has just been assigned to the brutal rape and murder of a hooker in Atlanta. A Georgia Bureau of Investigation agent, Will Trent, asks to observe the case, as he has been following a series of similar rapes that occurred in different juresdictions. The story then goes back in time about six months and we meet convicted rapist and murderer John Shelley, who has recently been released from prison having been convicted as a teen. Besides the obvious, it takes a while for the two timelines to merge and for the connection between the two stories to unfold. But it is a great story, and the pieces fall together wonderfully.