1. Supernatural events:
This is shown in Wuthering Heights when Lockwood has the "dream" about Catherine's ghost grabbing him. It is not explained and just raises questions, especially because Heathcliff starts talking to the "imaginary" ghost. This adds to the mystery and may or may not be explained later in the story.
2. Setting in a "Castle"
The mansion is pretty similar to a castle. It is secluded and large, holding many secrets, which also contributes to the mood of foreign mystery. Since Lockwood is an outsider, the story seems like you are removed from the story and yet in it, as you are in the same mansion. It's like it's playing around you, but you are not part of it, as the little world apart from society does not fit with Lockwood, or rather, he does not fit with it.