As a child I very much enjoyed watching Project Blue Book (called Project UFO in the US) [0]. As I remember the episodes, the investigators would often come up with a rational explanation for the events by the end of the episode, but then just before the credits the viewer would see some piece of evidence the investigators had missed which would throw into doubt the rational explanation, making you wonder if just maybe...

Also enjoyed Arthur C Clarke's Mysterious World [1].

[0] https://en.wikipedia.org/wiki/Project_U.F.O.

[1] https://en.wikipedia.org/wiki/Arthur_C._Clarke%27s_Mysteriou...