Of course, the prosaic explanation (mis-spelled name in the census, missing page in the census, etc) usually turns out to be the correct one...
But I also have a story where the truth has turned out to be stranger than I expected, although the mystery isn't quite solved yet. I will post it here, for anyone who is interested in reading the whole thing...
My g-g-g-grandmother was a Frances Patrick, from North Walsham, Norfolk, England. She married my g-g-g-grandfather in 1866, moved to Kent and had a whole lot of children - no mystery there. But trying to trace her family further back has proved more difficult. Her marriage certificate gives her father as James Patrick, Saddler. As she was born in 1844, she is not on the 1841 census, but I found a James Patrick, Saddler, in North Walsham, with wife and five-year-old daughter. Reasonable to assume that I had found Frances' parents and sister. But looking for them on any subsequent census? Not a trace... And therefore no accurate idea of when or where her parents were born, as the 1841 information is so vague.
Frances herself pops up again in 1861, but by this time she is living and working as a servant in London. On her marriage cert, though, there is no suggestion that her father is dead. So where is he? Not to mention her mother, and all her siblings (FreeBMD provides me with a whole list of probable siblings).
The answer is surprising. With the help of a fellow-researcher on here, I found a family who were almost certainly mine - there is James, there is his wife, he is a harness-maker (similar to a saddler), he lives in London but was born in Norfolk, all his children were born in North Walsham, and the names and dates match up exactly. Only problem? Their name is Watts.
Delving a little deeper, I found a marriage record for James and his wife (he married twice, but that's a different and less puzzling story) on which his father's name is given as Henry. There is no obvious baptism record for him, but there is a marriage between a Henry Patrick and a Mary WATTS...
Are they James' parents? If so, why did he move to London and assume his mother's maiden name? I thought I'd found the answer when I discovered that Henry Patrick was deported for cattle-stealing, but the deportation happened fifteen years or so before James changed his name (there is a fairly small window of time for him to have done so - he had a child born and baptised under the name Patrick, in Norfolk, in 1850, and appears in London as Watts in 1851...).
So, I found what had happened to my disappearing family, but to be honest, it created more questions than it answered...