Vague start for an adventure ...

[RigaMortus]

You could also go "Sixth Sense" on this...

Perhaps the townspeople aren't really gone, perhaps the party is the one that disappeared. Maybe they were murdered overnight when they slept and as a result they can only see and interact with others who are dead (but do not realize they are dead). Leave very subtle hints about their demise, but don't make this a "campaign ender". There has to be some way for them to realize they are dead and they should find a way to come back from the dead.

If the death thing seems too "fatal" for the campaign and you don't think it will sit well with your players, then do the dimension thing. Perhaps they were transported to a strange dimension or parallel world.

 

[LostSoul]

There is another way to look at it...

Don't answer any questions for yourself or your players. Put together an interesting adventure, drop in some strange mystery that may or may not be related to anything, and let your mind turn. Listen to your players and pick up on some of thier ideas. Hopefully they'll start to wonder out loud, and from that you can tell what they think a "cool" answer to the mystery would be.

 

[Darklone]

Ravenloft.

This sounds like a typical Ravenloft adventure. The Darklords wanted to add a new domain and "stole" the island or village or whatever... Together with a spell that kidnapped all creatures with less than 5HD?