I can’t think of anything that I personally have run into, but I think that the most-interesting unexplained phenomena that other people have run into is ball lightning. Supernatural…well, I wouldn’t use that term, but we do believe that it likely exists, but haven’t really tamped down on the mechanism that produces it (if it is a single mechanism).

https://en.wikipedia.org/wiki/Ball_lightning

Ball lightning is a rare and unexplained phenomenon described as luminescent, spherical objects that vary from pea-sized to several meters in diameter. Though usually associated with thunderstorms,[1] the observed phenomenon is reported to last considerably longer than the split-second flash of a lightning bolt, and is a phenomenon distinct from St. Elmo’s fire.

Some 19th-century reports[2][3] describe balls that eventually explode and leave behind an odor of sulfur. Descriptions of ball lightning appear in a variety of accounts over the centuries and have received attention from scientists.[4] An optical spectrum of what appears to have been a ball lightning event was published in January 2014 and included a video at high frame rate.[5][6] Laboratory experiments have produced effects that are visually similar to reports of ball lightning, but how these relate to the supposed phenomenon remains unclear.[7][8]

Scientists have proposed a number of hypotheses to explain reports of ball lightning over the centuries, but scientific data on ball lightning remain scarce. The presumption of its existence has depended on reported public sightings, which have produced inconsistent findings. Owing to the lack of reproducible data, the existence of ball lightning as a distinct physical phenomenon remains unproven.[9]

On the above video:

https://www.newscientist.com/article/dn24886-natural-ball-lightning-probed-for-the-first-time/

In 2012, Jianyong Cen and his colleagues at Northwestern Normal University in Lanzhou, China, were observing a thunderstorm in Qinghai, China with video cameras and spectrographs. Purely by chance, they recorded a ball lightning event. When a bolt struck the ground, a glowing ball about 5 metres wide rose up and travelled about 15 metres, disappearing after 1.6 seconds.

The spectrograph revealed that the main elements in the ball were the same as those found in the soil: silicon, iron and calcium. The observations support a theory for making ball lightning put forth in 2000 by John Abrahamson at the University of Canterbury in New Zealand.

Gold dust

Abrahamson surmised that when lightning hits the ground, the sudden, intense heat can vaporise silicon oxide in the dirt, and a shockwave blows the gas up into the air. If there’s also carbon in the soil, perhaps from dead leaves or tree roots, it will steal oxygen from the silicon oxide, leaving a bundle of pure silicon vapour. But the planet’s oxygen-rich atmosphere rapidly re-oxidises the hot ball of gas, and this reaction makes the orb glow briefly.

The theory garnered support in 2006, when scientists at Tel Aviv University in Israel were able to create ball lightning in the lab by firing mock lightning at sheets of silicon oxide. The event in China marks the first time such an orb has been captured in nature with scientific instruments.

The study authors say that other mechanisms could also explain their observations. But Abrahamson thinks the findings are a perfect fit for the soil hypothesis. “Here’s an observation which has all the hallmarks of our theory. This is gold dust as far as confirmation goes,” he says.

Even if the above theory is accurate, it’s possible that there are multiple unexplained phenomena here that were all dumped under “ball lightning”; the historical descriptions are not entirely consistent. Some examples have been described as popping or exploding and causing damage. Some examples have been described as rolling over surfaces.