Something that I find pretty mind-boggling is the idea of Dark Matter. What is it? How does it work? etc. etc. Well, to start off, I did what every good Physics student would do, and did plenty of research (all of ten minutes on Wikipedia. Man I'm hardcore). It turns out that "dark matter" for better or worse, is basically unexplained, unobservable stuff that's believed to comprise the majority of the matter in the universe. Because it doesn't interact with any form of electromagnetic radiation in any way (i.e. doesn't scatter, reflect, or emit any light), it isn't possible with current telescope technology to observe it, and therefore, we don't even know whether it exists. The existence of dark matter was first proposed by Jan Oort, in order to explain the missing mass that should have been there when observing the orbital and rotational speeds of galaxies, as well as a few other weird thingies like strong gravitational lensing:

Because of the particular complexities of dark matter, I'd rather not get ahead of myself by trying to explain too much detail, since, to be honest, I'm still trying to wrap my mind around some of this stuff myself. But dark matter can be broken into cold, warm, and hot dark matter. Cold dark matter is basically dark matter moving at classical velocities, while warm is any relativistic dark matter, and hot is "ultrarelativistic", or speeds extremely close to the speed of light. Much of the evidence for dark matter comes from observation of the movement of galaxies, and dark matter detection experiments are still being run today. Of course, because of the theoretical nature of dark matter, there are alternative theories such as modifying the laws of gravity, etc. Who knows? I'm sure the astrophysicists working on this stuff are pretty smart people, and we'll see (hopefully before we die) what "dark matter" really is

Another pretty picture from the internet to distract people... it's a 3D map of the distribution of dark matter, from Hubble's measurements of weak gravitational lensing.