As it is used in the context of the Rosary, the word mystery means "a subject for prayerful reflection."
The mysteries of Our Lady's most holy Rosary are:
The Joyful Mysteries: (1) the Annunciation of the Lord; (2) the Visitation of Our Lady to her Cousin Elizabeth; (3) the Nativity of the Lord; (4) the Presentation of the Infant Jesus at the Temple; (5) the Finding of the Child Jesus in the Temple.
The Sorrowful Mysteries: (1) Our Lord's Agony in the garden of Gethsemane; (2) Our Lord's scourging; (3) His Crowning with thorns; (4) the Way of the Cross; (5) Our Lord's death on the cross.
The Glorious Mysteries: (1) The Resurrection of the Lord from the Dead; (2) Our Lord's Ascension into Heaven; (3) The Descent of the Holy Spirit upon Mary and the Apostles; (4) Mary's Assumption into Heaven; (5) Mary's Coronation in Heaven.
Catholics recite the prayers of the Rosary, repeating the Aves, which the count on Rosary beads, while reflecting on these events in the lives of Jesus and Mary.