Sasori
We don't really know exactly how Sasori turned himself into a puppet without killing himself. Apparently he was able to put all of his major organs in a tiny little canister in his chest.
Deidara
We don't know where or how Deidara got all those mouths in his body or what elements make up the explosion release.
Hidan
We don't know where the Jashin jutsus originated from or who Jashin is.
Kakuzu
We don't know what exactly Kakuzu was. Apparently made into like a living rag doll from a forbidden jutsu he stole from his village who survived by taking the hearts of the people he killed.
Itachi
We still don't know where Itachi got the Totsuka blade and Yata Mirror.
Kisame
We don't know why Kisame possessed shark features.
Konan
We still don't know the exact properties or elements of the paper jutsu and how Konan was able to turn her entire being into paper.
Zetsu
We don't know how black zetsu was able to record battles
Obito
We don't know exactly what or where the Kamui dimension is.
Madara
We never officially found out what Madara's exclusive MS techniques were. He possesses susano'o so logically he should have possessed other abilities like Itachi, Sasuke, Obito and Shisui, unless his exclusive ability was Limbo the whole time.
Kishimoto did a great job keeping his antagonists wonderkinds even after their defeats. Perhaps he will shed more light on their abilities in the upcoming game, which will explain their origins and show their recruitment.
