My sister once set up a campaign beginning like this: we all started off dreaming, in the dreams we saw the other pc's and we were interacting with them (in this case, all the pc's were fighting in a war). Then, after discribing the various dreams to each pc, the gm had us wake up on the floor of an inn room (all of us in the same room), recalling nothing about ourselves or how we had come to be there. You could use something similar and give your pc's little flashes of remembering or dreams or whatever through the game to allow the mystery to unfold over time.
Worked wonders for my sister!
T from Three Haligonians