I like stories (not just in games) where it makes you think. It doesn't give you all the details, just the necessary ones. Then you have to think about the mystery.

It gets your mind involved and those are more memorable.

Accidently leaving plotholes don't count as leaving for the mystery, so don't do that!

I'd say that a battles system and character micro-managing are my number one most important things in an RPG. Story is next.