By which, of course, I mean Inception. People still concerned about spoilers should look away now.
The "mystery" to which I refer, of course, is the spinning top in the final frames of the film, which ends before we see whether it falls - thus implying, supposedly, that Mal might be right, and the film's "reality" is really just another dream.
Personally, I don't buy it. There are a couple of reasons for this: First, the top wobbles. Leaving aside all the speculation and debate about how exactly the totems in general and the top in particular works, the fact remains that the top's purpose to the plot is as a indicator that the protagonists are in "reality", and to subvert that at the last second would completely undercut Cobb's character development arc. No, I think Cobb is in his prime reality, with his real children, and to suggest otherwise (for example that, as one theory I've seen goes, he spends the whole movie trapped in Limbo and the inception heist is "really" Mal and his team trying to rescue him) is to read things into the film that simply aren't there.
However, as a careful reading of that last paragraph will indicate (go ahead and check, I'll wait), that's not quite all that there is to this film. In fact, what I think is really going on here is that Nolan has made a film that is a quite clever metaphor for film-making itself. The key scene for this interpretation is when Cobb and Ariadne begin talking in the cafe - when Cobb points out that they must be in a dream because she can't remember how, exactly, she got to that point, we as the audience take a moment to realize the significance of this. Why? Because skipping transitory elements (like walking to a cafe) is exactly what most films do to keep the pacing from slowing to a crawl.
In a way, then, the reality of the film actually is another dream - but it's not Cobb's dream, it's Nolan's. The next level isn't some hypothetical plane with Cobb's real family, it's the actual real world, where Cobb is played by Leonardo DiCaprio, and little cinematic goof-ups like not having your characters wake up when their van rolls down a hill can be completely overcome by using that opportunity to stage a fight scene in a revolving hallway set.
Finally, one last thought to really break your brain: a great many people actually do believe that there is a level of reality beyond this one, and furthermore that death is the quickest way to jump from here to there (although, of course, purposefully causing your own or someone else's death to jump there faster will likely be frowned upon by the One in charge, but no analogy is perfect).