[edit] Steps

Make sure you know who you really are. If you don't know who you are, this will be quite confusing. Figure out your personality, values, goals and friends.
Decide which parts of your personality you want to always keep on display, and which parts you want others to only catch a glimpse of. For example, you might let everyone know you don't like reading, but you might only let it slip out every now and then that you're deathly afraid of speaking in public.
Practice being unpredictable. Think of your typical reactions to things (this is where knowing yourself comes in handy) and decide which reactions you want to keep, and which ones you want to change. Maybe you totally hate watching the footy, but every now and then you sit down with your family and really get into it. This is probably the hardest step, but if you work hard, you can achieve it.
Make sure you never look the same. Do something different with your hair every day. Even changing the colour of your hair barrette or adding a ribbon will make you totally unpredictable. Experiment: One day you might have smoky eyes and dark lipstick, the next day you might just have lip gloss.
Make friends with heaps of people, but have days where you only talk to some. This doesn't mean you have to snub them or be bitchy, but try to talk to one group on one day, and another group the next. Make sure to change the days around or people will begin to realise what you're doing.
Make your room mysterious. Maybe have one part that's totally girly and fun, but the other part is dark and Gothic. People will be confused about whether you're girly or goth.
Don't talk a lot about your opinions and feelings, except maybe to very close friends and family. Try not to let expression show on your face. If you aren't obvious about your emotions, you will seem even more mysterious.
Don't talk about past relationships. Just answer questions with the statement that you learned more about yourself by experiencing the relationship.
Post as little information as possible on Social Networking sites. See how little you can put.
Try to have a slight smile on your face just a small one.
Dye your hair and get a deeper hair color. Try deep chestnut, or black. Get a hair style with sharp angular cuts and long bangs. This will add all the more mystery to your look.
Use a shade lighter foundation that you usually do. Then add deep purple or reddish lipstick. You'll have a bit of a gothy look but it'll be sexy.
Wear deep purples, black, deep reds, forest greens, anything with a dark flair. Pair your outfit with feminine things like long vintage necklaces, beaded black and purple earrings. Wear shorter skirts with fishnet stockings and colored tights. This is a really cool look.
Go for items with the darker sides. Learn to journal and write. Poets are quite mysterious.
Be silent but speak when spoken to. you want to be mysterious which means if you catch a guy's eye; give him a sultry look and look away, slipping into the shadows. Man, he'll want to chase you!
Read a great deal.
Wear lots of vintage pieces. Capes, jackets, hoods, corset shirts and different kinds of clothes pieced together. Have Fun!

[edit] Tips

Never ever snub anyone. If someone talks to you when you planned to talk to another group, keep the conversation short and sweet.
Don't let too many people in on your game of being mysterious or you'll seem like a poser.
Know why you want to be mysterious. Is this a game you are playing with yourself, or are you just playing it safe and finding a way to distance yourself from others?