I recently ran my crew against a series of puzzles. One of the heroes (The Element) was a former villain working for a guy called The Alchemist, with classic elemental powers just like his protege eventually gained.
Four riddles appeared around the city, one written in fiery letters at a TV station, one sunken in the earth at Central Park, one formed out of smokestacks at the airport, and one formed from water puddles seeming to come to life and form into letters a la Terminator 2. The obvious culprit, from the powers, was The Alchmeist, who hasn't been seen in over forty years, and was believed dead. But riddles aren't his style at all.
The trick with riddles, for me, is to make them personal. The way that the riddles appeared immediately pointed to one of the PC's history. And one of the solutions was his own name! The riddles indicated that someone knew who he was, and was out to get him. I gave the players the riddles as the cliffhanger of one session, so that they had a week to figure them out. After hearing the mrun in circles, I was afraid I'd made them too hard, but they eventually figured them out.
What's worse, is that in the next session, while they were still mulling over the riddles, they uncovered a plot by Black Harlequin, who si known to be a riddle fiend as well as an evil toymaker. When they confronted him with the riddles -- which he had not written -- he mused them over. "Hmm... Who is this Eddy person that's in such trouble? That's certainly something to think about isn't it? Hee hee hee!"
So now, not only do they have one apprarently magical maniac after them, they've practically handed over a PC's secret identity to a technological maniac...