I've started a little "notebook" of all the mysteries and clues revealed on the show, in the hopes of forming some cool theories. Yes I know, I'm a nerd.
From the first show, One of the first clues actually lies in the Show's title screen, when the word Vanished appears, and then starting from the last letter begins to disappear. As the screen closes in on the V, it doubles and flips, becoming a seemingly arcane symbol. That symbol is known as the "square and compass" and is the symbol for Freemasonry.
In the opening sequence of the first episode we see Sara Collins talking on the phone to an unknown party. She appears to be agreeing to meet them, saying she'll only have a few minutes. While doing this she is grading what appears to be a child's spelling test. But let's take a closer look. There are a couple of odd things about this test. One, whenever a word appears that has an "a" in it, there is a strange space between the the beginning of the word and the a and the rest of the word, for example the first word is written b arn, instead of barn. This only happens with words with the letter a in them. All other words are written normally. Two, the #14 item on the list is blank. I don't know what to make of this, but perhaps there's some sort of clue here? As Sara finishes her call, she tells the caller, "Jeffrey's home, please never call here again". Hmm, it seems if the caller was someone unknown to Jeffrey, she would have said, "My husband is home", rather than calling him by his first name.
Another interesting clue is the arcane symbol found on the hand of the dead kidnapper, Mark Valera (see screencap). In the show they keep referring to it as a nine, but personally I don't think that's what it is. First of all, if you look closely, it's not a closed loop and curved tail like a regular nine. It is in fact an open diamond shape with a straight extended side. Not a nine at all, really. I looked for a symbol like this at Symbols.com, but the closest thing I could come up with is this, a symbol that in American hobo language means "say nothing". Could this be a warning to somebody to keep quiet?
And of course the most interesting clue so far is the mysterious 929. It made its appearance first at the end of episode one, where it appeared on the back of a prayer card found on a corpse. The front of the card showed St. Nathan. Odd, since nathan is also the name of the little boy that was killed when Kelton's previous case went sour. When I looked more carefully at the back of the card, I realized that the numbers were written as 9:29. That's either a time or a bible verse notation. So I entered Nathan 9:29 into Google and came up with 2 Chronicles 9:29, "Now the rest of the acts of Solomon, first and last, are they not written in the book of Nathan the prophet, and in the prophecy of Ahijah the Shilonite, and in the visions of Iddo the seer against Jeroboam the son of Nebat?" Interesting. However, there is no book of nathan in the bible. So apparently this account of Solomon was lost at some point. Solomon and the building of the temple is heavily associated with Freemasonry.
Vanished is definitely warming up. There are tons of other clues and information but I don't want to spoil it for anyone. Just go and watch the show! Even if you didn't like it the first week, try it again. It seems to be getting better.