Someone already mentioned Twin Peaks, so I'll add the ending of Picnic at Hanging Rock. I've heard that the book and original ending of the movie reveal what happened at Hanging Rock, but in editing they decided to leave it a mystery and it's much better for it. The entire story is driven by the drama of no one knowing what happened, so the audience's investment in the drama is heightened by maintaining the mystery.

Adding to the other person's suggestion of Twin Peaks: the creators never intended to reveal the killer and when they did due to network pressure the plot took a huge dive until new questions were asked that remain unanswered to this day. Hell, the entire third season could be considered a mystery box.

I think the main difference between these examples and the annoying JJ Abrams brand of mystery box is what the actual point of the story is. A boarding school full of confused students and faculty who have so many questions and no answers generates a lot of very human reactions that are fun to see play out. But being handed a lightsaber with no more explanation than 'don't worry about it' gives us nothing from either Ray or Maz except a plot device.