The base game and all expansions contain a strange/mystery zone.
A Realm Reborn was the beautiful and scarred Mor Dohna. It ended up being turned into a very fun independent castle town to hang out in. It's still one of my favorite places.
Heavenward gave us Azys La, which is our floating sci-fi Allagan zone. I don't see as many people hanging out in there as I do in Mor Dohna, but it is quite a fascinating and challenging place to quest in. All it's spooky twists and turns really make adventuring quite interesting. You can't help but wonder about it's mysteries.
Stormblood opted for a city state zone instead.. Though, in as memorable and breathtaking as The Lochs appears to be, it was quite poorly executed. Ala Mhigo may look straight out of Lord of The Rings, but it has very little personality to go with it. We can only go to the Gardens, or just a tiny sliver of the quarter. We can see from above that the whole city seems to be active, but we can not enter. It's strange.. wouldn't any person living in XIVs world be able to explore the city? I see Ala Mhigo in the story, but it feels so detached at the same time. I never get the sense that they are actually an allied state. At least all the rest of Eorzeas allies let is walk through its doors.. the tower in the recent patch honestly has no emotional result for me compared to how I feel about them in other places..
Shadowbringers: We got the Tempest, and through the course of the story it seemed to be much more than just a waterless bubble in the ocean.. learning about Ascians origins was incredible. I honestly can't say as much as I did on the other mystery zones. It's just an awesome place.
Now that I've shared my thoughts on each weird zone.. we have a new expansion coming up. Where do you think the final mystery zone will be? My bet is honestly on the moon. Imagine a whole zone where we can look at the source from.. would be incredible..