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Some adventures explicitly invoke this trope. For example, Canyon O'Doom includes a scene where the characters discover a deserted town and a frightening suicide note. The adventure notes state that there is no actual resolution to the scene, that not everything in the Weird West makes sense, and that sometimes the unknown is the scariest thing of all.
The town of Gomorra was extensively featured in the Deadlands: Doomtown spinoff game, but the IP for the game transferred from Pinnacle Entertainment Group to AEG, making anything to do with the town a copyright gray area. Pinnacle made no mention of the town for many years, making it seem to just disappear. The 1880 Smith & Robbards Catalog talks briefly about "The Gomorra Incident" where the town blew up in a firey mess. Hardly any details are given, and there probably won't ever be a solid explanation.
In Changeling: The Lost, you'll find this gem. "Changelings tend to avoid giving Freeholds too-obvious names derived from myth, ever since the disaster that befell the 17th-century legendary freehold of New Lyonesse." There's a hint if you study Arthurian legend. Lyonesse is the home country of Tristan. In later versions of the story, it's said to have sunken beneath the sea...
The 3.5 edition Dungeons & Dragons sourcebook the Player's Handbook 2 includes a sample quote in the Bard character archetype section: "This reminds me of the time Prince Voltred tried to enter his falcon in the archery contest. Funny thing about that..."
In Shadowrun Dunkelzahn's Will contains approximately 20% various noodle incidents the dragon has seen fit to clean up after following his death.
To Alamais, I leave the fruitcake we have exchanged every Christmas since 2020. Unlike you, Iím really dead.
Perhaps one of the most infamous to players is the clause dealing with a Mr. Lars Matthews.
For a period of ten days beginning on 14 February 2057, Lars J. Matthews will cease to possess any legal status. He will be stripped of all evidence of legal existence, including SIN, credsticks, Doc Wagon contract, bank accounts and so on. To the individual or group who ends Lars J. Matthews' physical existence during those ten days, I leave all of Matthews' assets and 1 million nuyen for a job well done. If Mr. Matthews survives and can prove his identity, his legal status and all possessions will be restored to him. Haven't you heard? Never deal with a dragon, Lars.
The exact nature of The Mourning in Eberron and its causes is also a permanent mystery.
Then there's this rpgnet thread, which contains more than a hundred. At present, the first post contains the phrase "In case of vampire attack, all my underwear goes to the man with the strongest chin", the latest post has "Wait, I've got four ranks of Knockback. I punch the elephant back into the clown-car", and things are even weirder in-between.
The Horus Heresy novels do shed some hints of light on their fates, with implications of "unacceptable genetic deviations" in both Primarchs and their Legions (which is why Sanguinus refuses to reveal the existence of the Red Thirst to the Emperor, lest he end up a "third missing statue"), and comments on the Space Wolves having fought and slain Space Marines before the Heresy...
Chuubo's Marvelous Wish-Granting Engine: Many. The list of 101 wishes Chuubo could make, for example, does nothing to explain the chain of events that led from "I wish I could be a seagull" to "I wish seagulls were cooler".