With the sphinx.... there is a question about was their originally a lion's head which was re-shaped into a pharoahs head.... and there is also a second-sphinx theory. There is the pseudo-scientist Edgar Cayce who predicted the Hall-of-Records underneath the paw of the sphinx.
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The labyrinth has been mentioned; it is described as being greater than the pyramids.
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The minoan palace in Avaris is another mystery; this may be too complex though. There are many other Greco-Egyptian mysteries. Diodorus says the Greek Underworld traditions came from Egypt... this hasn't been proven.
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The Theban kinglist of Eratosthenes hasn't been decoded yet (this would seem to require some Greek language skills).
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Amarna is still somewhat mysterious; Egypt still holds alot of mysteries and there a lot of great discoveries still waiting to be found. Hawass once said something like less than 30% of Egyptian Mysteries have been discovered so far.