I have been doing a "mystery" thematic unit in my Kindergarten classroom since 1996. The kids absolutely love it. It begins with the kids coming to school (the day after Thanksgiving break) to a crime scene outside the classroom. We then embark on a 3 week learning adventure in search of our missing mascot, Rocky the swordfish! Many of the materials can be downloaded from my website.
Choose what is to be stolen. I think that class mascots work best for a mystery. If you do not already have a mascot, they make cute Detective Larue stuffed animals that would work just fine. I think the bigger the animal the better. I would not recommend using a live animal.
Choose who your thief is going to be: My first year doing the mystery unit I chose a neighboring teacher and she chose me to be her thief so it worked out perfectly. The reason you need to know who your thief is because all the clues will eventually point to that person. Nowadays I usually choose a really funny father of one of the students.
Set up the crime scene. The children should arrive at school the first day of the theme and see all the clues and the missing mascot. I do not tell the kids what happened, I just tell them that there was a robbery and they need to go in the class and figure out what happened.
Start the Unit! Within the first few days you should eliminate yourself as a suspect by sending home a clue the reads "I am not a teacher".
Pace yourself, the slower the mystery is revealed the better. You don't really want the kids to figure out who the thief is until
Create a mural of a missing poster for your missing mascot.
Sample clues The 3rd day of the unit I send home the incredibly hard word scramble for the parents to solve. It usually takes them 3 weeks to solve it... Make it nearly impossible! Here are some examples of the easy nightly clues I send home: I am not Mr. S I am not a kid I am not a mom I am a dad I have a daughter I am a good dancer (just to be silly) Then the night before the return of Rocky I send home the (cut up) silhouette of the thief, this gives away his identity. This ensures that the kids are not scared when we corner the robber since they are fairly sure who he is.
Play mystery music such as the Pink Panther Theme, Mission Impossible theme, James Bond theme.
Tell your colleagues that you a playing a mystery game because your students are probably going to tell other students about the robbery and kids in other classes might not know it is a game.
When we finally catch the thief I usually have him bring popsicles for the kids and then we call it even. The kids are very forgiving and most of them realize it was just a game.